Robust Bayesian Estimation

Passarin Katia ()
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Passarin Katia: Università della Svizzera Italiana, Istituto di Finanza, Facoltà di Economia

Economics and Quantitative Methods from Department of Economics, University of Insubria

Abstract: This paper deals with the problem of robust estimation in a Bayesian context. We present an overview on some families of so-called robust distributions and we prove that they belong to the family of elliptical distributions. According to this results, extensions to the multivariate case can be easily obtained. Moreover we propose criteria to assess when using a robust model is recommend and how to choose among estimates obtained with different models.

Pages: 22 pages
Date: 2004-05
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https://www.eco.uninsubria.it/RePEc/pdf/QF2004_11.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0406

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