Optimal robust credible sets for contaminated priors

In robust Bayesian analysis, it is of interest to find the optimal robust credible set, viz: the smallest set with posterior probability at least, say [gamma], with respect to each prior in the class. Here, we derive the optimal robust credible set for the [var epsilon]-contamination class of priors with arbitrary contaminations.

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Year of publication:	1993
Authors:	Sivaganesan, Siva ; Berliner, L. Mark ; Berger, James
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 18.1993, 5, p. 383-388
Publisher:	Elsevier
Keywords:	Optimal robust credible sets [var epsilon]-contamination classes Bayesian robustness posterior probability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254707