A simple diagnostic tool for local prior sensitivity

Rubén Zamar
Authors registered in the RePEc Author Service: Daniel Peña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper presents a simple diagnostic tool to assess the sensitivity of the posterior mode in the presence of an infinitesimal contamination in the prior distribution. The proposed diagnostic measure is easy to compute and can be used as a first step in judging the robustness of the bayesian inference. The procedure is illustrated in the estimation of the mean of a normal distribution. Some extensions of this diagnostic measure to the multivariate case and credibility intervals are briefly discussed.

Keywords: Bayesian; robustness; Influence; function; Mixture; of; distributions (search for similar items in EconPapers)
Date: 1996-09
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... bb6703f46b12/content (application/pdf)

Related works:
Journal Article: A simple diagnostic tool for local prior sensitivity (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:10486

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().