On the Uniform Approximation of Laplace's Prior by t-Priors in Location Problems
Nov 30 1992
The problem of deriving robust and classically acceptable Bayesian inference on location parameters is considered in this paper. The main result of the paper allows one to obtain uniform posterior approximation starting with a likelihood functions with heavy tails, e.g., t-distributions with unknown locations. The approximations of the relevant Bayes quantities are obtained as well.