Bands of Probability Measures: a Robust Bayesian Analysis
Elı́as Moreno, Luis R. Pericchi · 1992
Abstract This class allows considerable freedom on tail behaviour as long as the upper and lower measures L, U have different tails. This property is inherited from the class of interval of measures (DeRobertis and Hartigan, 1981), from which probability bands are obtained by restricting attention to those measures that integrate to one. Although the analysis of this restricted class is somewhat more involved, the restriction is quite natural and may lead to much smaller posterior ranges of the quantities of interest. General results for this model and some illustrations for two dimensional likelihoods are given. Comparison with interval of measures are also made.