Global and Local Robustness Approaches: Uses and Limitations

We provide a comparative review of the global and local approaches to Bayesian robustness. Here, we focus on the issue of assessing robustness on a (more) practical level. Specifically, we address the issues of interpretation, calibration, and the limitations of these measures. The important issue of how one may proceed with a follow-up investigation, when robustness is found to be lacking, is also reviewed, including how both the global and local robustness measures, together, can be useful in such a follow-up study. We then briefly summarize the asymptotics, and end with a discussion.

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