Robust Bayesian estimation in a normal model with asymmetric loss function
Volume 26 / 1999
Applicationes Mathematicae 26 (1999), 85-92
DOI: 10.4064/am-26-1-85-92
Abstract
The problem of robust Bayesian estimation in a normal model with asymmetric loss function (LINEX) is considered. Some uncertainty about the prior is assumed by introducing two classes of priors. The most robust and conditional Γ-minimax estimators are constructed. The situations when those estimators coincide are presented.
