Geodesic
Robust Bayesian estimation with asymmetric loss function
Agata Boratyńska1
1 Institute of Econometrics Warsaw School of Economics Al. Niepodległości 162 02-554 Warszawa, Poland
Applicationes Mathematicae, Tome 29 (2002) no. 3, pp. 297-306

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

The problem of robust Bayesian estimation in some models with an asymmetric loss function (LINEX) is considered. Some uncertainty about the prior is assumed by introducing two classes of priors. The most robust and conditional ${\mit \Gamma }$-minimax estimators are constructed. The situations when those estimators coincide are presented.
DOI : 10.4064/am29-3-3
Keywords: problem robust bayesian estimation models asymmetric loss function linex considered uncertainty about prior assumed introducing classes priors robust conditional mit gamma minimax estimators constructed situations those estimators coincide presented

Agata Boratyńska 1

1 Institute of Econometrics Warsaw School of Economics Al. Niepodległości 162 02-554 Warszawa, Poland 
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Agata Boratyńska. Robust Bayesian estimation
 with asymmetric loss function. Applicationes Mathematicae, Tome 29 (2002) no. 3, pp. 297-306. doi: 10.4064/am29-3-3

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