Robust Bayes and Empirical Bayes Analysis with $_\epsilon$-Contaminated Priors
Robust Bayes and Empirical Bayes Analysis with $_\epsilon$-Contaminated Priors
For Bayesian analysis, an attractive method of modelling uncertainty in the prior distribution is through use of $\varepsilon$-contamination classes, i.e., classes of distributions which have the form $\pi = (1 - \varepsilon)\pi_0 + \varepsilon q, \pi_0$ being the base elicited prior, $q$ being a "contamination," and $\varepsilon$ reflecting the amount …