Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
134 tokens/sec
GPT-4o
10 tokens/sec
Gemini 2.5 Pro Pro
47 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Model-robust regression and a Bayesian ``sandwich'' estimator (1101.1402v1)

Published 7 Jan 2011 in stat.AP

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.

Summary

We haven't generated a summary for this paper yet.