Markov chain Monte Carlo

Linear regression

Bayesian probability

Statistics

Applied mathematics

Mathematics

Monte Carlo method

Bayesian inference

Annals of Operations Research

We extend the uniform mixture model of Gao et al. (Ann Oper Res, 2019. 10.1007/s10479-019-03236-9 ) to the case of linear regression. Gao et al. (Ann Oper Res, 2019. 10.1007/s10479-019-03236-9 ) proposed that to characterize the probability distributions of multimodal and irregular data observed in engineering, a uniform mixture model can be used. This model is a weighted combination of multiple uniform distribution components. This case is of empirical interest since, in many instances, the distribution of the error term in a linear regression model cannot be assumed unimodal. Bayesian methods of inference organized around Markov chain Monte Carlo are proposed. In a Monte Carlo experiment, significant efficiency gains are found in comparison to least squares justifying the use of the uniform mixture model.

A note on the Gao et al. (2019) uniform mixture model in the case of regression