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December, 1992 Invariance Properties of Density Ratio Priors
Larry Wasserman
Ann. Statist. 20(4): 2177-2182 (December, 1992). DOI: 10.1214/aos/1176348912

Abstract

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.

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Larry Wasserman. "Invariance Properties of Density Ratio Priors." Ann. Statist. 20 (4) 2177 - 2182, December, 1992. https://doi.org/10.1214/aos/1176348912

Information

Published: December, 1992
First available in Project Euclid: 12 April 2007

zbMATH: 0768.62021
MathSciNet: MR1193335
Digital Object Identifier: 10.1214/aos/1176348912

Subjects:
Primary: 62F15
Secondary: 62F35

Rights: Copyright © 1992 Institute of Mathematical Statistics

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Vol.20 • No. 4 • December, 1992
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