Some comments about James Watson's and Chris Holmes' "Approximate Models and Robust Decisions": Nonparametric Bayesian clay for robust decision bricks

This note discusses Watson and Holmes (2016) and their pro- posals towards more robust Bayesian decisions. While we acknowledge and commend the authors for setting new and all-encompassing prin- ciples of Bayesian robustness, and we appreciate the strong anchoring of those within a decision-theoretic referential, we remain uncertain as to which extent such principles can be applied outside binary de- cisions. We also wonder at the ultimate relevance of Kullback-Leibler neighbourhoods to characterise robustness and favour extensions along non-parametric axes.

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