Robust Bayes estimation using the density power divergence

Abhik Ghosh () and Ayanendranath Basu ()

Annals of the Institute of Statistical Mathematics, 2016, vol. 68, issue 2, 413-437

Abstract: The ordinary Bayes estimator based on the posterior density can have potential problems with outliers. Using the density power divergence measure, we develop an estimation method in this paper based on the so-called “ $$R^{(\alpha )}$$ R ( α ) -posterior density”; this construction uses the concept of priors in Bayesian context and generates highly robust estimators with good efficiency under the true model. We develop the asymptotic properties of the proposed estimator and illustrate its performance numerically. Copyright The Institute of Statistical Mathematics, Tokyo 2016

Keywords: Pseudo-posterior; Robustness; Bayes estimation; Density power divergence (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10463-014-0499-0

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