robust-statistics

Fitting robust non-Gaussian models in Stan and R-INLA

Rafael Cabral, David Bolin and Håvard Rue / 2023-01-19

Traditionally the excitation noise of spatial and temporal models is Gaussian. Take, for instance, an AR1 (autoregressive of order 1) process, where the increments \(x_{i+1}-\rho x_i, \ \ |\rho|<1\) are assumed to follow a Gaussian distribution. However, it is easy to find datasets that contain…