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March, 1990 Consistent and Robust Bayes Procedures for Location Based on Partial Information
Kjell A. Doksum, Albert Y. Lo
Ann. Statist. 18(1): 443-453 (March, 1990). DOI: 10.1214/aos/1176347510


We consider Bayes procedures for a location parameter $\theta$ that are robust with respect to the shape of the distribution $F$ of the data. The case where $F$ is fixed (nonrandom) and the case where $F$ has a Dirichlet distribution are both treated. The procedures are based on the posterior distributions of the location parameter given the partial information contained in a robust estimate of location. We show consistency and asymptotic normality of the procedures and give instances where the Bayes procedure based on the full sample diverges while the Bayes procedures based on partial information converges and is asymptotically normal. Finally, we show that robust confidence procedures can be given a Bayesian interpretation.


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Kjell A. Doksum. Albert Y. Lo. "Consistent and Robust Bayes Procedures for Location Based on Partial Information." Ann. Statist. 18 (1) 443 - 453, March, 1990.


Published: March, 1990
First available in Project Euclid: 12 April 2007

zbMATH: 0701.62043
MathSciNet: MR1041403
Digital Object Identifier: 10.1214/aos/1176347510

Primary: 62A15
Secondary: 62E20

Rights: Copyright © 1990 Institute of Mathematical Statistics


Vol.18 • No. 1 • March, 1990
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