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Al-Bahir Journal for Engineering and Pure Sciences

Abstract

Bayesian inferences depend solely on specification and accuracy of likelihoods and prior distributions of the observed data. The research delved into Bayesian estimation method of regression models to reduce the impact of some of the problems, posed by convectional method of estimating regression models, such as handling complex models, availability of small sample sizes and inclusion of background information in the estimation procedure. Posterior distributions are based on prior distributions and the data accuracy, which is the fundamental principles of Bayesian statistics to produce accurate final model estimates. Sensitivity analysis is an essential part of mathematical model validation in obtaining a robust inference. Prior sensitivity analysis was examined in regression model, via Bayesian regression and Bayesian quantile regression analysis; results obtained across the sensitivity analysis were compared using RMSE and BIAS statistic as model performance evaluation. Empirical studies using Nigeria Economic variables were employed to analyze the variation in prior sensitivity. Different hyper parameters of the priors were used to check for sensitivity of the prior distributions, it was ascertained that Bayesian method under the frame work of regression quantiles performs well with small variance and sample size than Bayesian regression methods.

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