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A simple diagnostic tool for local prior sensitivity

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  • Peña, Daniel
  • Zamar, Rubén

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.

Suggested Citation

  • Peña, Daniel & Zamar, Rubén, 1996. "A simple diagnostic tool for local prior sensitivity," DES - Working Papers. Statistics and Econometrics. WS 10486, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:10486
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    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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    2. Passarin Katia, 2004. "Local robustness measures for posterior summaries," Economics and Quantitative Methods qf0405, Department of Economics, University of Insubria.

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