Bayesian Robustness for Multivariate Problems

Thomas Brendan Murphy
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Thomas Brendan Murphy: Trinity College, Department of Statistics

A chapter in Distributions With Given Marginals and Statistical Modelling, 2002, pp 161-168 from Springer

Abstract: Abstract Abstract The sensitivity of Bayesian multivariate parameter estimation to changes in the prior is investigated. In particular, robustness with respect to the dependence structure of the prior is considered. Methods using maximal association copulas, parametric copulas, and a sampling based method are demonstrated.

Keywords: Bayesian robustness; Distributions with given marginals; Copulas; 62F15; 62C10; 62F35 (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-017-0061-0_17

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DOI: 10.1007/978-94-017-0061-0_17

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