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. 
Christian P. Robert and Judith Rousseau (Universit\'e Paris-Dauphine,   PSL)
stat.ME stat.CO