Measuring Bayesian Robustness Using R\'enyi Divergence

MaRDI QIDQ6318766zbMATH OpenFDO

Authors Luai Al-Labadi, Ce Wang

Publication date 15 May 2019

Mathematics Subject Classification ID

Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35) Nonparametric robustness (62G35)

Abstract: This paper deals with measuring the Bayesian robustness of classes of contaminated priors. Two different classes of priors in the neighborhood of the elicited prior are considered. The first one is the well-known $epsilon$-contaminated class, while the second one is the geometric mixing class. The proposed measure of robustness is based on computing the curvature of R'enyi divergence between posterior distributions. Examples are used to illustrate the results by using simulated and real data sets.

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