期刊
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
卷 68, 期 2, 页码 413-437出版社
SPRINGER HEIDELBERG
DOI: 10.1007/s10463-014-0499-0
关键词
Pseudo-posterior; Robustness; Bayes estimation; Density power divergence
The ordinary Bayes estimator based on the posterior density can have potential problems with outliers. Using the density power divergence measure, we develop an estimation method in this paper based on the so-called -posterior density; this construction uses the concept of priors in Bayesian context and generates highly robust estimators with good efficiency under the true model. We develop the asymptotic properties of the proposed estimator and illustrate its performance numerically.
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