Bayesian robustness under a skew-normal class of prior distribution

Autor(es)

de Godoi, Luciana Graziela ^[1] ; Branco, Marcia D'Elia ^[2]

Afiliação do(s) autor(es)

^[1] Univ Fed Espirito Santo, Dept Estat, Goiabeiras, Vitoria - Brazil

^[2] Univ Sao Paulo, Dept Estat, BR-05508 Sao Paulo - Brazil

• Tipo de documento: Artigo Científico
• Fonte: INTERNATIONAL JOURNAL OF APPROXIMATE REASONING; v. 55, n. 5, p. 1235-1251, JUL 2014.
• Citações Web of Science: 0

Resumo

We develop a global sensitivity analysis to measure the robustness of the Bayesian estimators with respect to a class of prior distributions. This class arises when we consider multiplicative contamination of a base prior distribution. A similar structure was presented by van der Linde {[}12]. Some particular specifications for this multiplicative contamination class coincide with well known families of skewed distributions. In this paper, we explore the skew-normal multiplicative contamination class for the prior distribution of the location parameter of a normal model. Results of a Bayesian conjugation and expressions for some measures of distance between posterior means and posterior variance are obtained. We also elaborate on the behavior of the posterior means and of the posterior variances through a simulation study. (C) 2014 Elsevier Inc. All rights reserved. (AU)

• Processo FAPESP: 04/15304-6 - Modelos de regressão e aplicações
• Beneficiário: Heleno Bolfarine
• Modalidade de apoio: Auxílio à Pesquisa - Temático
• Processo FAPESP: 12/21788-2 - Modelos de regressão e aplicações
• Beneficiário: Heleno Bolfarine
• Modalidade de apoio: Auxílio à Pesquisa - Temático