A Unified Theory for Robust Bayesian Prediction Under a General Class of Regret Loss Functions
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DOI: 10.5705/ss.202018.0063
Abstract: We study robust Bayesian prediction problems using the posterior regret Γ-minimax (PRGM) approach. We provide a unified theory for PRGM prediction under a very general class of regret loss functions that includes squared error (SE),… read more here.
Keywords: bayesian prediction; class; robust bayesian; loss functions ... See more keywords