Bayesian inference in a heteroscedastic replicated measurement error model using heavy-tailed distributions
Chunzheng Cao, Mengqian Chen, Xiao-Xin Zhu, Shaobo Jin · Journal of Statistical Computation and Simulation · 2017
We introduce a multivariate heteroscedastic measurement error model for replications under scale mixtures of normal distribution. The model can provide a robust analysis and can be viewed as a generalization of multiple linear regression from both model structure and distribution assumption. An efficient method based on Markov Chain Monte Carlo is developed for parameter estimation. The deviance information criterion and the conditional predictive ordinates are used as model selection criteria. Simulation studies show robust inference behaviours of the model against both misspecification of distributions and outliers. We work out an illustrative example with a real data set on measurements of plant root decomposition.