On the robustness of a Bayes estimate

This paper examines the robustness of a Bayes estimator with respect to the assigned prior distribution. A Bayesian analysis for a stochastic scale parameter of a Weibull failure model is summarized in which the natural conjugate is assigned as the prior distribution of the random parameter. The sensitivity analysis is carried out by the Monte Carlo method in which, although an inverted gamma is the assigned prior, realizations are generated using distribution functions of varying shape. For several distributional forms and even for some fixed values of the parameter, simulated mean squared errors of Bayes and minimum variance unbiased estimators are determined and compared. Results indicate that the Bayes estimator remains squared-error superior and appears to be largely robust to the form of the assigned prior distribution.