Robust Bayesian Estimation

This paper deals with the problem of robust estimation in a Bayesian context. We present an overview on some families of so-called robust distributions and we prove that they belong to the family of elliptical distributions. According to this results, extensions to the multivariate case can be easily obtained. Moreover we propose criteria to assess when using a robust model is recommend and how to choose among estimates obtained with different models.

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Year of publication:	2004-05
Authors:	Katia, Passarin
Institutions:	Facoltà di Economia, Università degli Studi dell'Insubria

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Series:	Economics and Quantitative Methods.
Type of publication:	Book / Working Paper
Language:	English
Notes:	22 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005827400