Question: Suppose we assume the Bayesian normal linear model for a one-way layout, but the actual conditional distribution of y is highly skewed to the right
Suppose we assume the Bayesian normal linear model for a one-way layout, but the actual conditional distribution of y is highly skewed to the right (e.g., y = annual income). For large {ni}, would you expect Bayesian inference about {????i} to be relatively robust? Would you expect Bayesian prediction intervals based on the posterior predictive distribution to be robust?
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