Robust Bayesian estimation with asymmetric loss function

• Autorzy: Agata Boratyńska
• Języki publikacji: EN

Abstrakty

EN

The problem of robust Bayesian estimation in some models with an asymmetric loss function (LINEX) is considered. Some uncertainty about the prior is assumed by introducing two classes of priors. The most robust and conditional Γ-minimax estimators are constructed. The situations when those estimators coincide are presented.

Kategorie tematyczne

• 62F15: Bayesian inference
• 62C10: Bayesian problems; characterization of Bayes procedures

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2002
• Tom: 29
• Numer: 3
• Strony: 297-306

Daty

wydano

2002

Twórcy

autor

Agata Boratyńska

• Institute of Econometrics, Warsaw School of Economics, Al. Niepodległości 162, 02-554 Warszawa, Poland

Identyfikatory

DOI

10.4064/am29-3-3