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Optimal robust credible sets for contaminated priors

Author

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  • Sivaganesan, Siva
  • Berliner, L. Mark
  • Berger, James

Abstract

In robust Bayesian analysis, it is of interest to find the optimal robust credible set, viz: the smallest set with posterior probability at least, say [gamma], with respect to each prior in the class. Here, we derive the optimal robust credible set for the [var epsilon]-contamination class of priors with arbitrary contaminations.

Suggested Citation

  • Sivaganesan, Siva & Berliner, L. Mark & Berger, James, 1993. "Optimal robust credible sets for contaminated priors," Statistics & Probability Letters, Elsevier, vol. 18(5), pages 383-388, December.
    • Handle: RePEc:eee:stapro:v:18:y:1993:i:5:p:383-388
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    Cited by:

    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 Wasserman &, 1994. "An overview of robust Bayesian analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 3(1), pages 5-124, June.

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