Optimal robust credible sets for contaminated priors

Siva Sivaganesan, L. Mark Berliner and James Berger

Statistics & Probability Letters, 1993, vol. 18, issue 5, 383-388

Abstract: In robust Bayesian analysis, it is of interest to find the optimal robust credible set, viz: the smallest set with posterior probability at least, say [gamma], with respect to each prior in the class. Here, we derive the optimal robust credible set for the [var epsilon]-contamination class of priors with arbitrary contaminations.

Keywords: Optimal; robust; credible; sets; [var; epsilon]-contamination; classes; Bayesian; robustness; posterior; probability (search for similar items in EconPapers)
Date: 1993
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