Robust HPD Regions in Bayesian Regression Models

DOI10.2307/2938279MaRDI QIDQ3989216zbMATH OpenOpenAlexFDO

Authors Klaus Pötzelberger, Wolfgang Polasek

Publication date 28 June 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2938279

zbMATH Keywords

Bayesian confidence setsconjugate priorsextreme bound analysisfeasible ellipsoidHIFI regionshigh fiduciaryhighest posterior probabilitypositive definite matricesprior covarianceregion of posterior meansrobust Bayesian analysisrobust HPD regionssensitivity analysisunspecified prior covariance

Mathematics Subject Classification ID

Bayesian inference (62F15) Parametric tolerance and confidence regions (62F25) Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05)

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