稳健Bayes估计

ROBUST BAYES ESTIMATION

  • 摘要: 在Bayes估计问题中,我们证明了当损失函数满足一定条件时,所对应的Bayes估计是稳健的:即Bayes估计是后验分布的连续泛函(相对于后验分布之间的Kolmogorov距离)。

     

    Abstract: In Bayes estimation problems, we show that under certain conditions on the loss function, the Bayes estimator is robust, i.e., the Bayes estimator is a continuous functional of posterior distribution (with respeot to the Kolmogorov distance between posterior distribations).

     

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