Robust Bayesian estimation with asymmetric loss function
Volume 29 / 2002
Applicationes Mathematicae 29 (2002), 297-306
MSC: Primary 62C10; Secondary 62F15.
DOI: 10.4064/am29-3-3
Abstract
The problem of robust Bayesian estimation in some models with an asymmetric loss function (LINEX) is considered. Some uncertainty about the prior is assumed by introducing two classes of priors. The most robust and conditional ${\mit \Gamma }$-minimax estimators are constructed. The situations when those estimators coincide are presented.
