Robust Bayesian estimation with asymmetric loss function
Agata Boratyńska
Applicationes Mathematicae, Tome 29 (2002), p. 297-306 / Harvested from The Polish Digital Mathematics Library
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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 Γ-minimax estimators are constructed. The situations when those estimators coincide are presented.

Publié le : 2002-01-01
EUDML-ID : urn:eudml:doc:279709 
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     title = {Robust Bayesian estimation with asymmetric loss function},
     journal = {Applicationes Mathematicae},
     volume = {29},
     year = {2002},
     pages = {297-306},
     zbl = {1009.62503},
     language = {en},
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Agata Boratyńska. Robust Bayesian estimation with asymmetric loss function. Applicationes Mathematicae, Tome 29 (2002) pp. 297-306. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am29-3-3/