Log-Regularly Varying Scale Mixture of Normals for Robust Regression
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Linear regression with the classical normality assumption for the error distribution may lead to an undesirable posterior inference of regression coefficients due to the potential outliers. This paper considers the finite mixture of two components with thin and heavy tails as the error distribution, which has been routinely employed in applied statistics. For the heavily-tailed component, we introduce the novel class of distributions; their densities are log-regularly varying and have heavier tails than those of Cauchy distribution, yet they are expressed as a scale mixture of normal distributions and enable the efficient posterior inference by Gibbs sampler. We prove the robustness to outliers of the posterior distributions under the proposed models with a minimal set of assumptions, which justifies the use of shrinkage priors with unbounded densities for the high-dimensional coefficient vector in the presence of outliers. The extensive comparison with the existing methods via simulation study shows the improved performance of our model in point and interval estimation, as well as its computational efficiency. Further, we confirm the posterior robustness of our method in the empirical study with the shrinkage priors for regression coefficients.
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