Robust Bayesian estimation with asymmetric loss function

Tom 29 / 2002

Agata Boratyńska Applicationes Mathematicae 29 (2002), 297-306 MSC: Primary 62C10; Secondary 62F15. DOI: 10.4064/am29-3-3

Streszczenie

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.

Autorzy

  • Agata BoratyńskaInstitute of Econometrics
    Warsaw School of Economics
    Al. Niepodległości 162
    02-554 Warszawa, Poland
    e-mail

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