Bayesian linear regression with skew-symmetric error distributions with applications to survival analysis
Type
ArticleKAUST Department
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) DivisionStatistics Program
Date
2016-02-09Online Publication Date
2016-02-09Print Publication Date
2016-06-30Permanent link to this record
http://hdl.handle.net/10754/600716
Metadata
Show full item recordAbstract
We study Bayesian linear regression models with skew-symmetric scale mixtures of normal error distributions. These kinds of models can be used to capture departures from the usual assumption of normality of the errors in terms of heavy tails and asymmetry. We propose a general noninformative prior structure for these regression models and show that the corresponding posterior distribution is proper under mild conditions. We extend these propriety results to cases where the response variables are censored. The latter scenario is of interest in the context of accelerated failure time models, which are relevant in survival analysis. We present a simulation study that demonstrates good frequentist properties of the posterior credible intervals associated with the proposed priors. This study also sheds some light on the trade-off between increased model flexibility and the risk of over-fitting. We illustrate the performance of the proposed models with real data. Although we focus on models with univariate response variables, we also present some extensions to the multivariate case in the Supporting Information.Citation
Bayesian linear regression with skew-symmetric error distributions with applications to survival analysis 2016:n/a Statistics in MedicineSponsors
We thank an Associate Editor and two referees for their very helpful comments. FJR gratefully acknowledges research support from EPSRC grant EP/K007521/1. MGG's research is supported by King Abdullah University of Science and Technology (KAUST).Publisher
WileyJournal
Statistics in MedicineDOI
10.1002/sim.6897PubMed ID
26856806arXiv
1601.02224Additional Links
http://doi.wiley.com/10.1002/sim.6897ae974a485f413a2113503eed53cd6c53
10.1002/sim.6897
Scopus Count
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