Global Robustness with Respect to the Loss Function and the Prior
- Cite this article as:
- Abraham, C. & Daures, JP. Theory and Decision (2000) 48: 359. doi:10.1023/A:1005212125699
- 41 Downloads
We propose a class [I,S] of loss functions for modeling the imprecise preferences of the decision maker in Bayesian Decision Theory. This class is built upon two extreme loss functions I and S which reflect the limited information about the loss function. We give an approximation of the set of Bayes actions for every loss function in [I,S] and every prior in a mixture class; if the decision space is a subset of ℝ, we obtain the exact set.