ArticleOriginal scientific text
Title
Robust Bayesian estimation in a normal model with asymmetric loss function
Authors 1, 2
Affiliations
- Institute of Applied Mathematics, University of Warsaw, Banacha 2, 02-097 Warszawa, Poland
- Wojciechowskiego 22, 02-495 Warszawa, Poland
Abstract
The problem of robust Bayesian estimation in a normal model with 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.
Keywords
Bayes estimators, asymmetric loss function, robust Bayesian estimation, classes of priors
Bibliography
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Pages:
85-92
Main language of publication
English
Received
1998-09-02
Accepted
1998-12-03
Published
1999
Exact and natural sciences