Further Study of Robustification via A Bayesian Approach.

Abstract : A Bayesian model has been proposed which describes the generation of an observation by a process whereby with prior probability 1-alpha the usually assumed statistical structure is correct but with small probability alpha it is incorrect (for example, the observation has a very large variance). For a simple location estimate the nature of the down weighting of outlying observations produced by this model is studied and is compared with that of the presently popular M-estimators.