Bayesian estimation of a normal mean parameter using the Linex loss function and robustness considerations

摘要

This paper presents a derivation of an explicit analytical form for the Bayes estimator of the normal location parameter using the Linex loss function with a general class of prior distributions. Exact and approximate results based on Pericchi and Smith’s paper (1992) are given, where the priors are double-exponential and Studentt, respectively. The results of this paper provide a link between the robust Bayesian analysis for the normal location parameter when adopting either the Linex loss function or the squared error loss functio