Jairo Fuquene has released an R package on CRAN to accompany our paper
A Case for Robust Bayesian priors with Applications to Binary Clinical Trials
Jairo A. Fuquene P., John D. Cook, Luis Raul Pericchi
2 thoughts on “R package for robust priors”
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Cool! I’ve been quite interested by the use of fat-tailed priors in Bayesian analysis since Gelman et al’s paper on weak priors (http://www.stat.columbia.edu/~gelman/research/published/priors11.pdf), and I’ve recently been experimenting with the use of fat-tailed distributions for robust hierarchical modeling. Nice to see some software for it.
Nice abstract. Now I want to read the paper.