A note on conflict of information and subexponential densities

The Bayesian approach allows for uncertainty about both the model and the prior settings. Such uncertainty can only be stated by probability distributions. The adoption of robust distributions deals with potential conflict of information between the prior and the data. In this paper, we present suff...

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Bibliographic Details
Published in:Statistics & probability letters 2012-04, Vol.82 (4), p.840-842
Main Authors: Rifo, L.R., Santos, J.D.
Format: Article
Language:English
Subjects:
Bayesian inference
Conflict of information
Heavy-tailed distribution
Subexponential density
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Summary:The Bayesian approach allows for uncertainty about both the model and the prior settings. Such uncertainty can only be stated by probability distributions. The adoption of robust distributions deals with potential conflict of information between the prior and the data. In this paper, we present sufficient conditions for a conflict to be solved in favour of either source of information in terms of subexponential densities.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2012.01.013