Robust Bayes-like estimation: rho-Bayes estimation (Q1996790)

The authors [Stochastic Processes Appl. 126, No. 12, 3888--3912 (2016; Zbl 1419.62070); Ann. Stat. 46, No. 6B, 3767--3804 (2018; Zbl 1407.62169)] presented a new alternative to maximum likelihood estimation (MLE), the \(\rho\)-estimation, which leads to robust estimators. The lack of robustness is not specific to the MLE but has also been noticed in the Bayesian framework, since the posterior distribution is not robust with respect to misspecifications of the model. This paper addresses this last problem and proposes, by extending the \(\rho\)-estimation theory, a robust alternative to the classical Bayes posterior distribution. It is proved that this new alternative posterior distribution possesses concentration properties under no misspecification similar to the ones of the classical posterior distribution, In this last case, under some suitable assumptions imposed to the model and the prior, its Hellinger distance from the classical posterior distribution tends to zero, as the number of observations tends to infinity. Moreover, it is shown that the \(\rho\)-posterior possesses robustness properties when the model is misspecified or the data are not i.i.d. provided that the marginal densities are close enough in terms of Hellinger distance to the model considered. Summarizing, it is a very well written paper with an important contribution to the Bayesian framework, since it presents an alternative robust Bayes-like estimation procedure, which can be applied in various statistical frameworks, while at the same time its properties distinguish it from the classical Bayesian procedures.