On the Uniform Approximation of Laplace's Prior by t-Priors in Location Problems

S. Mukhopadhyay and M. Ghosh

Journal of Multivariate Analysis, 1995, vol. 54, issue 2, 284-294

Abstract: The problem of deriving robust and classically acceptable Bayesian inference on location parameters is considered in this paper. The main result of the paper allows one to obtain uniform posterior approximation starting with likelihood functions with heavy tails, e.g., t-distributions with unknown location. The approximations of the relevant Bayes quantities are obtained as Well.

Date: 1995
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