Sample Size Determination for Robust Bayesian Analysis

Abstract

This article considers a robust Bayesian approach to the sample size determination problem. We focus on global Bayesian robustness that studies lower bound ( L n ), upper bound ( U n ), and range ( R n ) of posterior quantities of interest, obtained as the prior varies in a class of distributions. Specifically, we are interested in the selection of an appropriate sample size that gives guarantees to the researcher of observing a small value of the range and, depending on the problems, either a sufficiently large lower bound or a sufficiently small upper bound. Toward this end, we approach the problem as a design issue and provide new sample size determination criteria based on summaries of the predictive distributions of L n , U n , and R n , such as expectations and tail probabilities. Relationships and comparison to standard classical and (nonrobust) Bayesian methods are discussed. The proposed methods are studied for the normal model with conjugate priors and used for choosing the size of a clinical trial.