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

Marek Meczarski and Ryszard Zielinski

Statistics & Probability Letters, 1991, vol. 12, issue 4, 329-333

Abstract: 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.

Keywords: Bayesian; estimation; model; violation; robust; estimation; stable; estimation (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (5)

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