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Optimal robust credible sets for contaminated priors

Publication ,  Journal Article
Sivaganesan, S; Berliner, LM; Berger, J
Published in: Statistics and Probability Letters
December 2, 1993

In robust Bayesian analysis, it is of interest to find the optimal robust credible set, viz: the smallest set with posterior probability at least, say γ, with respect to each prior in the class. Here, we derive the optimal robust credible set for the ε-contamination class of priors with arbitrary contaminations. © 1993.

Duke Scholars

Published In

Statistics and Probability Letters

DOI

ISSN

0167-7152

Publication Date

December 2, 1993

Volume

18

Issue

5

Start / End Page

383 / 388

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 3802 Econometrics
  • 1403 Econometrics
  • 0104 Statistics
  • 0102 Applied Mathematics
 

Citation

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Sivaganesan, S., Berliner, L. M., & Berger, J. (1993). Optimal robust credible sets for contaminated priors. Statistics and Probability Letters, 18(5), 383–388. https://doi.org/10.1016/0167-7152(93)90032-E
Sivaganesan, S., L. M. Berliner, and J. Berger. “Optimal robust credible sets for contaminated priors.” Statistics and Probability Letters 18, no. 5 (December 2, 1993): 383–88. https://doi.org/10.1016/0167-7152(93)90032-E.
Sivaganesan S, Berliner LM, Berger J. Optimal robust credible sets for contaminated priors. Statistics and Probability Letters. 1993 Dec 2;18(5):383–8.
Sivaganesan, S., et al. “Optimal robust credible sets for contaminated priors.” Statistics and Probability Letters, vol. 18, no. 5, Dec. 1993, pp. 383–88. Scopus, doi:10.1016/0167-7152(93)90032-E.
Sivaganesan S, Berliner LM, Berger J. Optimal robust credible sets for contaminated priors. Statistics and Probability Letters. 1993 Dec 2;18(5):383–388.
Journal cover image

Published In

Statistics and Probability Letters

DOI

ISSN

0167-7152

Publication Date

December 2, 1993

Volume

18

Issue

5

Start / End Page

383 / 388

Related Subject Headings

  • Statistics & Probability
  • 4905 Statistics
  • 3802 Econometrics
  • 1403 Econometrics
  • 0104 Statistics
  • 0102 Applied Mathematics