The equivalence of Bayes and robust Bayes estimators for various loss functions

DOI10.1007/S00362-008-0130-7zbMATH Open1247.62006OpenAlexW2054347529MaRDI QIDQ451376FDOQ451376

Authors: Agnieszka Kamińska 

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-008-0130-7

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zbMATH Keywords

decision theoryBayes estimationclass of priorsclasses of loss functionsminimax rule

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian problems; characterization of Bayes procedures (62C10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Statistical decision theory and Bayesian analysis. 2nd ed
• Ranges of posterior measures for priors with unimodal contaminations
• Conditional ¡-minimax actions under convex losses
• Title not available (Why is that?)
• Title not available (Why is that?)
• Robust Bayesian estimation with asymmetric loss function
• Title not available (Why is that?)
• The reflected normal loss function
• BLINEX: A BOUNDED ASYMMETRIC LOSS FUNCTION WITH APPLICATION TO BAYESIAN ESTIMATION
• ADMISSIBILITY OF BAYES ESTIMATES UNDER BLINEX LOSS FOR THE NORMAL MEAN PROBLEM

Cited In (9)

• Robust Bayesian prediction and estimation under a squared log error loss function
• Robust Bayesian prediction under a general linear-exponential posterior risk function and its application in finite population
• Robust Bayesian estimation with asymmetric loss function
• On robust Bayesian estimation under some asymmetric and bounded loss function
• Bayesian local robustness under weighted squared-error loss function incorporating unimodal\-ity
• Robustness of Ferguson's Bayes estimator of a distribution function
• Bayesian estimation of a normal mean parameter using the Linex loss function and robustness considerations
• Robust Bayesian estimation in a normal model with asymmetric loss function
• Bayesian robustness of the quantile loss in statistical decision theory

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