Download PDF - Stability and conditional Γ-minimaxity in Bayesian inferenceAll rights reserved. Copyright exceptions and limitations apply

ArticleOriginal scientific text

Title

Stability and conditional Γ-minimaxity in Bayesian inference

Authors 1

Affiliations

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

Abstract

Two concepts of optimality corresponding to Bayesian robust analysis are considered: conditional Γ-minimaxity and stability. Conditions for coincidence of optimal decisions of both kinds are stated.

Keywords

ENG
conditional Γ-minimax action, stability of a statistical procedure, robust Bayesian analysis

Bibliography

  1. B. Betrò and F. Ruggeri, Conditional Γ-minimax actions under convex losses, Comm. Statist. Theory Methods 21 (1992), 1051-1066
  2. A. Boratyńska and M. Męczarski, Robust Bayesian estimation in the one-dimensional normal model, submitted
  3. A. DasGupta and W. J. Studden, Frequentist behavior of robust Bayes estimates of normal means, Statist. Decisions 7 (1989), 333-361
  4. M. Męczarski, On stable Bayesian estimation in the Poisson model, Sci. Bull. Łódź Technical Univ. No. 687, Matematyka, z. 25 (1993), 83-91
  5. M. Męczarski and R. Zieliński, Stability of the Bayesian estimator of the Poisson mean under the inexactly specified gamma prior, Statist. Probab. Lett. 12 (1991), 329-333.
Applicationes Mathematicae
1993-1995/22/1
Export to PBN, Opens in new tab
Pages:
117-122
Main language of publication
English
Received
1993-03-25
Published
1993
Exact and natural sciences