Geodesic
Robust Bayesian estimation in a normal model with asymmetric loss function
Applicationes Mathematicae, Tome 26 (1999) no. 1, pp. 85-92.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

The problem of robust Bayesian estimation in a normal model with asymmetric loss function (LINEX) is considered. Some uncertainty about the prior is assumed by introducing two classes of priors. The most robust and conditional Γ-minimax estimators are constructed. The situations when those estimators coincide are presented.
DOI : 10.4064/am-26-1-85-92
Keywords: Bayes estimators, asymmetric loss function, robust Bayesian estimation, classes of priors

Agata Boratyńska 1 ; Monika Drozdowicz 1

1 
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Agata Boratyńska; Monika Drozdowicz. Robust Bayesian estimation in a normal model with asymmetric loss function. Applicationes Mathematicae, Tome 26 (1999) no. 1, pp. 85-92. doi : 10.4064/am-26-1-85-92. http://geodesic.mathdoc.fr/articles/10.4064/am-26-1-85-92/

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