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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)

Summary

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.

Keywords

Consumption Function High Posterior Density Prior Location High Posterior Density Precision Matrix 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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