Measuring Bayesian Robustness Using R\'enyi Divergence

Abstract

This paper deals with measuring the Bayesian robustness of classes of contaminated priors. Two different classes of priors in the neighborhood of the elicited prior are considered. The first one is the well-known $\epsilon$-contaminated class, while the second one is the geometric mixing class. The proposed measure of robustness is based on computing the curvature of R\'enyi divergence between posterior distributions. Examples are used to illustrate the results by using simulated and real data sets.