Estimating a binomial parameter: Is robust bayes real bayes?

Mei Mei Zen, Anirban DasGuvta

研究成果: Article同行評審

24 引文 斯高帕斯(Scopus)

摘要

In robust Bayesian analysis, a prior is assumed to belong to a family instead of being specified exactly. The multiplicity of priors naturally leads to a collection of Bayes actions (estimates), and these often form a convex set (an interval in the case of a real parameter). It is clearly essential to be able to recommend one action from this set to the user. We address the following problem: if we systematically choose one action for each X thereby constructing a decision rule, is it going to be Bayes? Is it Bayes with respect to a prior in the original prior family? Even if it is not genuine Bayes, is it admissible? This problem is addressed in the context of estimating an unknown Binomial parameter. Several prior families are considered. We look at the midpoint of the interval of Bayes estimates; this has a minimax interpretation, apart from its obvious simplistic appeal. We establish that unless the prior family includes unreasonable priors, use of this estimate guarantees good behavior and indeed it is usually admissible or even genuine Bayes.

原文English
頁(從 - 到)37-60
頁數24
期刊Statistics and Risk Modeling
11
發行號1
DOIs
出版狀態Published - 1993 1月

All Science Journal Classification (ASJC) codes

  • 統計與概率
  • 建模與模擬
  • 統計、概率和不確定性

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