کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1147817 | 957798 | 2010 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimally robust credible sets with a class of priors
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We determine a credible set A that is the “best” with respect to the variation of the prior distribution in a neighborhood Î of the starting prior Ï0(θ). Among the class of sets with credibility γ under Ï0, the “optimally robust” set will be the one which maximizes the minimum probability of including θ as the prior varies over Î. This procedure is also Î-minimax with respect to the risk function, probability of non-inclusion. We find the optimally robust credible set for three neighborhood classes Î, the ε-contamination class, the density ratio class and the density bounded class. A consequence of this investigation is that the maximum likelihood set is seen to be an optimal credible set from a robustness perspective.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 10, October 2010, Pages 2918-2925
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 10, October 2010, Pages 2918-2925
نویسندگان
Sudip Bose,