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Robust Bayesian seemingly unrelated regression model

Mbah, C; Peremans, K; Van Aelst, S; Benoit, DF

Benoit, DF (reprint author), Univ Ghent, Fac Econ & Business Adm, Tweekerkenstr 2, Ghent, Belgium.

COMPUTATIONAL STATISTICS, 2019; 34 (3): 1135

Abstract

A robust Bayesian model for seemingly unrelated regression is proposed. By using heavy-tailed distributions for the likelihood, robustness in the resp......

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