[edited Dec 11, 2022] In this post, we’ll show how Student’s \(t\)-distribution can produce better correlation estimates when your data have outliers. As is often the case, we’ll do so as Bayesians. This post is a direct consequence of Adrian Baez-Ortega’s great blog, “ Bayesian robust correlation with Stan in R (and why you should use Bayesian methods)”. Baez-Ortega worked out the approach and code for direct use with Stan computational environment.
