Robust Bayes estimation using the density power divergence
Article Type
Research Article
Publication Title
Annals of the Institute of Statistical Mathematics
Abstract
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 “ (Formula presented.) -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.
First Page
413
Last Page
437
DOI
10.1007/s10463-014-0499-0
Publication Date
4-1-2016
Recommended Citation
Ghosh, Abhik and Basu, Ayanendranath, "Robust Bayes estimation using the density power divergence" (2016). Journal Articles. 4417.
https://digitalcommons.isical.ac.in/journal-articles/4417