Robust HPD Regions in Bayesian Regression Models

DOI10.2307/2938279zbMath0743.62027OpenAlexW2054369642MaRDI QIDQ3989216

Wolfgang Polasek, Klaus Pötzelberger

Publication date: 28 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938279

zbMATH Keywords

sensitivity analysispositive definite matricesconjugate priorsrobust Bayesian analysisrobust HPD regionsBayesian confidence setsextreme bound analysisfeasible ellipsoidHIFI regionshigh fiduciaryhighest posterior probabilityprior covarianceregion of posterior meansunspecified prior covariance

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05) Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35)

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