Robust Bayes Estimation

doi:10.1080/03610920903506553

Robust Bayes Estimation

by Abdollah Bayati Eshkaftaki, Ahmad Parsian

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Communications in Statistics Theory and Methods (2011)

Volume: 40, Issue: 5, Publisher: Taylor & Francis, Pages: 929-941

ISSN: 03610926
DOI: 10.1080/03610920903506553

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Abstract

This article deals with robust Bayes estimation, namely Stable action, Conditional Gamma-Minimax action and Posterior Regret Gamma-Minimax action. We extend the results of Meczarski (1993) and obtain the exact actions in each case. The results are applied for a family of one-parameter exponential families introduced by Morris (1983) as an extension of the results of Boratynska (1997).