Optimal Robustness Results for Some Bayesian Procedures and the Relationship to Prior-Data Conflict

2015/04/27 by Al-Labadi, Luai, Evans, Michael
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1504.06898

Abstract

The robustness to the prior of Bayesian inference procedures based on a measure of statistical evidence are considered. These inferences are shown to have optimal properties with respect to robustness. Furthermore, a connection between robustness and prior-data conflict is established. In particular, the inferences are shown to be effectively robust when the choice of prior does not lead to prior-data conflict. When there is prior-data conflict, however, robustness may fail to hold.

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