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Robust Bayesian Estimation

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  • Passarin Katia

    (Università della Svizzera Italiana, Istituto di Finanza, Facoltà di Economia)

Abstract

This paper deals with the problem of robust estimation in a Bayesian context. We present an overview on some families of so-called robust distributions and we prove that they belong to the family of elliptical distributions. According to this results, extensions to the multivariate case can be easily obtained. Moreover we propose criteria to assess when using a robust model is recommend and how to choose among estimates obtained with different models.

Suggested Citation

  • Passarin Katia, 2004. "Robust Bayesian Estimation," Economics and Quantitative Methods qf0406, Department of Economics, University of Insubria.
    • Handle: RePEc:ins:quaeco:qf0406
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    File URL: https://www.eco.uninsubria.it/RePEc/pdf/QF2004_11.pdf
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