J. A. A. Andrade and A. O'Hagan
Federal University of Ceara, Fortaleza-Brazil and University of Sheffield, UK
Publication details: Scandinavian Journal of Statistics 38, 691-711, 2011.
The modelling process in Bayesian Statistics constitutes the fundamental stage of the analysis, since depending on the chosen probability laws the inferences may vary considerably. This is particularly true when conflicts arise between two or more sources of information. For instance, inference in the presence of an outlier (which conflicts with the information provided by the other observations) can be highly dependent on the assumed sampling distribution. When heavy-tailed (e.g. t) distributions are used, outliers may be rejected whereas this kind of robust inference is not available when we use light-tailed (e.g. normal) distributions. A long literature has established sufficient conditions on location parameter models to resolve conflict in various ways. In this work we consider a location-scale parameter structure, which is more complex than the single parameter cases because conflicts can arise between three sources of information, namely the likelihood, the prior distribution for the location parameter and the prior for the scale parameter. We establish sufficient conditions on the distributions in a location-scale model in order to resolve conflicts in different ways as a single observation tends to infinity. In addition, for each case we explicitly give the limiting posterior distributions as the conflict becomes more extreme.
Keywords: Bayesian robustness, conflicting information, regularly varying distributions, RV-Credence.