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Stability of the Bayesian estimator of the Poisson mean under the inexactly specified gamma prior

The Bayesian estimator of the mean of the Poisson distribution under the gamma prior ([alpha]0, [beta]0) is stable (robust) in the sense that if the prior runs over the set {([alpha], [beta]0): [alpha][epsilon][[alpha]0-[delta], [alpha]0+[delta]]}, then the oscillat estimator with the oscillation O([delta]2) is constructed; it also minimizes the oscillation of the posterior risk when the shape parameter runs over a finite interval.
Year of publication:
1991
Authors: Meczarski, Marek ; Zielinski, Ryszard
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 12.1991, 4, p. 329-333
Publisher: Elsevier
Keywords: Bayesian estimation model violation robust estimation stable estimation
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005223458
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