On the robustness of posterior means

Jiafeng Chen

Consider a normal location model $X\mid \hat{I}¸\sim N(\hat{I}¸,\ddot{I}{ƒ}^2)$ with known $\ddot{I}{ƒ}^2$. Suppose $\hat{I}¸\sim G_0$, where the prior $G_0$ has zero mean and variance bounded by $V$. Let $G_1$ be…