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On robust Bayesian estimation under some asymmetric and bounded loss function |
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| Authors: | Agnieszka Kamińska Zdzisław Porosiński |
| Institution: | 1. Department of Statistics and O.R.I. , Complutense University of Madrid , 28040, Madrid, Spain julio_pardo@mat.ucm.es;3. Department of Statistics and O.R.I. , Complutense University of Madrid , 28040, Madrid, Spain |
| Abstract: | The problem of Bayesian and robust Bayesian estimation with some bounded and asymmetric loss function ABL is considered for various models. The prior distribution is not exactly specified and covers the conjugate family of prior distributions. The posterior regret, most robust and conditional Γ-minimax estimators are constructed and a preliminary comparison with square-error loss and LINEX loss is presented. |
| Keywords: | decision theory Bayes estimator class of priors robust Bayesian estimation asymmetric bounded loss function |