Marco Cattaneo

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On the Robustness of Imprecise Probability Method

Abstract

Imprecise probability methods are often claimed to be robust, or more robust than conventional methods. In particular, the higher robustness of the resulting methods seems to be the principal argument supporting the imprecise probability approach to statistics over the Bayesian one. The goal of the present paper is to investigate the robustness of imprecise probability methods, and in particular to clarify the terminology used to describe this fundamental issue of the imprecise probability approach.

Keywords

robustness, imprecise probabilities, Bayesian analysis, credibility, decision making, indecision, sensitivity analysis, imprecise Dirichlet model

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E-mail addresses

Marco Cattaneo

cattaneo@stat.uni-muenchen.de