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

Author

Listed:
  • Sinha, Pankaj
  • Jayaraman, Prabha

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.

Suggested Citation

  • Sinha, Pankaj & Jayaraman, Prabha, 2009. "Robustness of Bayesian results for Inverse Gaussian distribution under ML-II epsilon-contaminated and Edgeworth Series class of prior distributions," MPRA Paper 15396, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:15396
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    File URL: https://mpra.ub.uni-muenchen.de/15396/1/MPRA_paper_15396.pdf
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    References listed on IDEAS

    as
    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.
    2. Pankaj Sinha & Ashok Bansal, 2008. "Bayesian optimization analysis with ML-II ε-contaminated prior," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(2), pages 203-211.
    3. 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.
    4. Whitmore, G. A., 1976. "Management applications of the inverse gaussian distribution," Omega, Elsevier, vol. 4(2), pages 215-223.
    5. Saralees Nadarajah & Samuel Kotz, 2007. "Inverse Gaussian random variables with application to price indices," Applied Economics Letters, Taylor & Francis Journals, vol. 14(9), pages 673-677.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Bayesian results; Inverse Gaussian distribution; ML-II ε-contaminated prior; Edgeworth Series Distributions;

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • 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 and Methodology: General - - - Bayesian Analysis: General

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