Stability of Bayesian inference in exponential families

Agata Boratynska

Statistics & Probability Letters, 1997, vol. 36, issue 2, 173-178

Abstract: The problem of estimating the unknown parameter of a one-parameter exponential family with the conjugate prior is considered. Some uncertainty about the prior is assumed by introducing a class of priors [Gamma]. The most robust and conditional [Gamma]-minimax estimators are constructed. The situations when those estimators coincide are presented. The paper is a generalization of the result for the Poisson distribution obtained in Mezarski and Zielinski (1991).

Keywords: Bayes; estimators; Classes; of; priors; Robust; Bayesian; estimation; One-parameter; exponential; family (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (2)

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