Robust hierarchical Bayes estimation of exchangeable means

Abstract

Abstract Estimation of the mean of a multivariate normal distribution is considered. The components of the mean vector θ are assumed to be exchangeable; this is modelled in a hierarchical fashion with independent Cauchy distributions as the first‐stage prior. The resulting generalized Bayes estimator is calculated and shown to be robust with respect to the presence of outlying means. Alternative estimators that have similar behaviour but are cheaper to compute are also derived.