INVARIANCE PROPERTIES OF DENSITY RATIO PRIORS

• 成果类型: Article
• 署名作者: WASSERMAN, L
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176348912
• 发表日期: 1992
• 页码: 2177-2182
• 关键词: robust bayesian-analysis; sensitivity

摘要

Density ratio neighborhoods are classes of probabilities that are used in robust Bayesian inference. These classes are invariant under Bayesian updating and marginalization. This makes them computationally convenient in robust Bayesian inference. We show that this is the unique class of probabilities that has these invariance properties. Aside from its theoretical value, this result has computational implications as well.