Highest predictive density estimator in regression models

DOI10.1016/0304-4076(92)90088-9zbMath0761.62088OpenAlexW2039271149MaRDI QIDQ1194032

Shigeru Iwata

Publication date: 27 September 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90088-9

zbMATH Keywords

shrinkage estimatormarginal likelihoodposterior meanminimum riskempirical Bayes approachhighest predictive density estimatorHPRD estimatorHPRD priorslower bound on the Bayes factor

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Bayesian inference (62F15) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (2)

Bounding posterior means by model criticism ⋮ Lower bounds on bayes factors for a linear regression model

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