Practical Robust Estimators for the Imprecise Dirichlet Model

Abstract: Walley's Imprecise Dirichlet Model (IDM) for categorical i.i.d. data extends the classical Dirichlet model to a set of priors. It overcomes several fundamental problems which other approaches to uncertainty suffer from. Yet, to be useful in practice, one needs efficient ways for computing the imprecise=robust sets or intervals. The main objective of this work is to derive exact, conservative, and approximate, robust and credible interval estimates under the IDM for a large class of statistical estimators, including the entropy and mutual information.