Robust Bayes decision procedures: gross error in the data distribution

DOI10.1214/AOS/1176349543MaRDI QIDQ1066580zbMATH OpenOpenAlexFDO

Authors Yaacov Ritov

Publication date 1985

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176349543

zbMATH Keywords

biasprior riskrobust Bayes

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Robustness and adaptive procedures (parametric inference) (62F35)

Review text

Standard Bayes decision situation except that with small probability the data may be irrelevant to the parameter of interest is considered. The riskiness of a decision procedure is measured by the prior risk. The minimax solution under quite general assumptions is described and discussed. The situation is illustrated on several practical and theoretical examples.

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• Departing from Bayesian inference toward minimaxity to the extent that the posterior distribution is unreliable
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