Autore
Passarin, KatiaTitolo
Local robustness measures for posterior summariesPeriodico
Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricercaAnno:
2004 - Fascicolo:
10 - Pagina iniziale:
1 - Pagina finale:
33This paper deals with measures of local robustness for particular Bayesian
quantities, i.e. posterior summaries. We build a framework where any Bayesian
quantity can be seen as a posterior functional and its sensitivity to all inputs
is checked. First, we use the Gateaux derivatives to measure the impact on
posterior summaries of perturbations of prior or sampling models, giving some
general expressions. Such quantities capture both a ’data effect’ and a ’model
effect’ on the functional. Secondly, we check the sensitivity to one observation
in the sample, once a particular combination of prior/sampling models has been chosen. Moreover, we propose a new estimator of the Bayes factor for practical implementation. Finally, illustrative examples on sensitivity
analysis are provided and discussed.
Testo completo:
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