Model-robust regression and a Bayesian “sandwich” estimator.

Show simple item record Szpiro, AA en Rice, KM en Lumley, Thomas en 2012-03-02T00:34:08Z en 2010 en
dc.identifier.citation Annals of Applied Statistics 4(4):2099-2113 2010 en
dc.identifier.issn 1932-6157 en
dc.identifier.uri en
dc.description.abstract We present a new Bayesian approach to model-robust linear regression that leads to uncertainty estimates with the same robustness properties as the Huber–White sandwich estimator. The sandwich estimator is known to provide asymptotically correct frequentist inference, even when standard modeling assumptions such as linearity and homoscedasticity in the data-generating mechanism are violated. Our derivation provides a compelling Bayesian justification for using this simple and popular tool, and it also clarifies what is being estimated when the data-generating mechanism is not linear. We demonstrate the applicability of our approach using a simulation study and health care cost data from an evaluation of the Washington State Basic Health Plan. en
dc.language EN en
dc.publisher Institute of Mathematical Statistics (IMS) en
dc.relation.ispartofseries Annals of Applied Statistics en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from en
dc.rights.uri en
dc.subject Bayesian inference en
dc.subject estimating equations en
dc.subject linear regression en
dc.subject robust regression en
dc.subject sandwich estimator en
dc.subject BOOTSTRAP en
dc.title Model-robust regression and a Bayesian “sandwich” estimator. en
dc.type Journal Article en
dc.identifier.doi 10.1214/10-AOAS362 en
pubs.issue 4 en
pubs.begin-page 2099 en
pubs.volume 4 en
dc.rights.holder Copyright: Institute of Mathematical Statistics (IMS) en
pubs.end-page 2113 en
dc.rights.accessrights en
pubs.subtype Article en
pubs.elements-id 239710 en Science en Statistics en
pubs.record-created-at-source-date 2012-02-10 en

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