Robust Bayesian Analysis of a Parameter Change in Linear Regression

  • Klaus Pötzelberger
  • Wolfgang Polasek
Conference paper
Part of the Studies in Empirical Economics book series (STUDEMP)


Robust Bayesian analyses in a conjugate normal framework have been developed by Learner (1978) and Polasek and Pötzelberger (1987). Fixing the prior mean and varying the prior covariance matrix yields a so-called feasible ellipsoid for the posterior mean and robust HPD regions, also called HiFi-regions. This paper considers the application of this approach to gain robust Bayesian inference in case of a parameter change in regression models.


Consumption Function High Posterior Density Prior Location High Posterior Density Precision Matrix 
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Copyright information

© Physica-Verlag Heidelberg 1989

Authors and Affiliations

  • Klaus Pötzelberger
    • 1
  • Wolfgang Polasek
    • 1
  1. 1.Institute for Statistics and EconometricsUniversity of BaselBaselSwitzerland

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