Minimax Robustness of Bayesian Forecasting under Functional Distortions of Probability Densities
The problems of robustness in Bayesian forecasting are considered under distortions of the hypothetical probability densities. The expressions for the guaranteed upper risk functional are obtained and the robust prediction statistics under certain types of distortions are constructed.
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| Format: | Article |
| Language: | English |
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Austrian Statistical Society
2016-04-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/480 |