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Robustness of Bayesian results for Inverse Gaussian distribution under ML-II ε-contaminated and Edgeworth Series class of prior distributions

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Author Info
Sinha, Pankaj
Jayaraman, Prabha

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Abstract

This paper aims to study the sensitivity of Bayes estimate of location parameter of an Inverse Gaussian (IG) distribution to misspecification in the prior distribution. It also studies the effect of misspecification of the prior distribution on two-sided predictive limits for a future observation from IG population. Two prior distributions, a class ML-II ε-contaminated and Edgeworth Series (ESD), are employed for the location parameter of an IG distribution, to investigate the effect of misspecification in the priors. The numerical illustrations suggest that moderate amount of misspecification in prior distributions belonging to the class of ML-II ε-contaminated and ESD does not affect the Bayesian results.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15396.

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Date of creation: 17 May 2009
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Handle: RePEc:pra:mprapa:15396

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Related research
Keywords: Bayesian results; Inverse Gaussian distribution; ML-II ε-contaminated prior; Edgeworth Series Distributions;

Find related papers by JEL classification:
C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Statistical Decision Theory; Operations Research
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
A10 - General Economics and Teaching - - General Economics - - - General
C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. James Berger & Elías Moreno & Luis Pericchi & M. Bayarri & José Bernardo & Juan Cano & Julián Horra & Jacinto Martín & David Ríos-Insúa & Bruno Betrò & A. Dasgupta & Paul Gustafson & Larry Wass, 1994. "An overview of robust Bayesian analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 3(1), pages 5-124, June. [Downloadable!] (restricted)
  2. Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December. [Downloadable!] (restricted)
  3. Saralees Nadarajah & Samuel Kotz, 2007. "Inverse Gaussian random variables with application to price indices," Applied Economics Letters, Taylor and Francis Journals, vol. 14(9), pages 673-677. [Downloadable!] (restricted)
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