Bayes Estimation of the Finite Population Mean Under Heavy­Tailed Priors *

Abstract

The paper considers Bayes estimation of the finite population mean under priors which are scale mixtures of normal, and thus have tail heavier than that of the normal, The proposed estimators are quite robust in general, and often can outperform Bayes estimators under the normal prior. Numerical methods of finding Bayes estimators under these heavy tailed priors are given, and are illustrated with an actual example.