Measuring Bayesian Robustness Using Rényi Divergence

This paper deals with measuring the Bayesian robustness of classes contaminated priors. Two different priors in neighborhood elicited prior are considered. The first one is well-known ϵ-contaminated class, while second geometric mixing class. proposed measure based on computing curvature Rényi divergence between posterior distributions. Examples used to illustrate results by using simulated and real data sets.