On predictive density estimation with additional information

DOI10.1214/18-EJS1493MaRDI QIDQ1711575zbMATH OpenOpenAlexWikidataFDO

Authors Éric Marchand, Abdolnasser Sadeghkhani

Publication date 18 January 2019

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.07778, https://projecteuclid.org/euclid.ejs/1544842900

zbMATH Keywords

\(\alpha\)-divergence lossadditional informationBayes estimatorsdominancedualityfrequentist riskKullback-Leibler lossmultivariate normalplug-inpredictive densityrestricted parameterskew-normalvariance expansion

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

Abstract: Based on independently distributed $X_{1}sim{N}_p(het{a}_1,sigm{a}_1^2{I}_p)$ and $X_{2}sim{N}_p(het{a}_2,sigm{a}_2^2{I}_p)$, we consider the efficiency of various predictive density estimators for $Y_{1}sim{N}_p(het{a}_1,sigm{a}_Y^2{I}_p)$, with the additional information $het{a}_1-het{a}_{2}inA$ and known $sigm{a}_1^2,sigm{a}_2^2,sigm{a}_Y^2$. We provide improvements on benchmark predictive densities such as plug-in, the maximum likelihood, and the minimum risk equivariant predictive densities. Dominance results are obtained for $alpha-$divergence losses and include Bayesian improvements for reverse Kullback-Leibler loss, and Kullback-Leibler (KL) loss in the univariate case ($p=1$). An ensemble of techniques are exploited, including variance expansion (for KL loss), point estimation duality, and concave inequalities. Representations for Bayesian predictive densities, and in particular for $hat{q}_{p{i}_{U,A}}$ associated with a uniform prior for $heta=(het{a}_1,het{a}_2)$ truncated to $hetainmathbb{R}^{2p}:het{a}_1-het{a}_{2}inA$, are established and are used for the Bayesian dominance findings. Finally and interestingly, these Bayesian predictive densities also relate to skew-normal distributions, as well as new forms of such distributions.

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