A note on conflict of information and subexponential densities

L.R. Rifo and J.D. Santos

Statistics & Probability Letters, 2012, vol. 82, issue 4, 840-842

Abstract: The Bayesian approach allows for uncertainty about both the model and the prior settings. Such uncertainty can only be stated by probability distributions. The adoption of robust distributions deals with potential conflict of information between the prior and the data. In this paper, we present sufficient conditions for a conflict to be solved in favour of either source of information in terms of subexponential densities.

Keywords: Bayesian inference; Conflict of information; Subexponential density; Heavy-tailed distribution (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:4:p:840-842

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DOI: 10.1016/j.spl.2012.01.013

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