Γ-Minimax: A Paradigm for Conservative Robust Bayesians

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Minimizing Sensitivity to Model Misspecification (2018, background): “Our analysis also connects to Bayesian robustness (e.g., Berger and Berliner, 1986, Gustafson, 2000, Vidakovic, 2000, Mueller, 2012), although our minimum-MSE estimators and confidence intervals have a frequentist interpretation.”
Approximate Models and Robust Decisions (2014, background): “There is a direct relationship between the solution under Section 4.1 and -minimax priors (Vidakovic, 2000) when the La(θ) involves all the parameters in a parametric model so that the posterior is πI (θ) ∝ n∏ j=1 f (xj |θ)π(θ) with likelihood f (·|θ) and prior π(θ).”
Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory (2004, background): “For a recent tutorial overview of this criterion, see Vidakovic (2000).”