Hooker, Giles; Vidyashankar, Anand - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 3, pp. 556-584
This paper develops a methodology for robust Bayesian inference through the use of disparities. Metrics such as Hellinger distance and negative exponential disparity have a long history in robust estimation in frequentist inference. We demonstrate that an equivalent robustification may be made...