Highest predictive density estimator in regression models

DOI10.1016/0304-4076(92)90088-9MaRDI QIDQ1194032zbMATH OpenOpenAlexFDO

Authors 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

empirical Bayes approachhighest predictive density estimatorHPRD estimatorHPRD priorslower bound on the Bayes factormarginal likelihoodminimum riskposterior meanshrinkage estimator

Mathematics Subject Classification ID

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

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Cited in

(2)

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

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