PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION

DOI10.1017/S0266466608080213MaRDI QIDQ3632388zbMATH OpenOpenAlexFDO

Authors Edward I. George, Xinyi Xu

Publication date 11 June 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608080213

Mathematics Subject Classification ID

Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
• Combining Minimax Shrinkage Estimators
• Estimation of the mean of a multivariate normal distribution
• Exact Minimax Strategies for Predictive Density Estimation, Data Compression, and Model Selection
• Goodness of prediction fit
• Improved minimax predictive densities under Kullback-Leibler loss
• Minimax multiple shrinkage estimation

Cited in

(25)

• Highest predictive density estimator in regression models
• On predictive density estimation with additional information
• A predictive density approach to predicting a future observable in multilevel models
• Proper Bayes and minimax predictive densities related to estimation of a normal mean matrix
• Bayesian predictive density estimation for a chi-squared model using information from a normal observation with unknown mean and variance
• On minimax optimality of sparse Bayes predictive density estimates
• A variational EM approach to predictive uncertainty
• Improved minimax predictive densities under Kullback-Leibler loss
• From minimax shrinkage estimation to minimax shrinkage prediction
• Asymptotic properties of Bayesian predictive densities when the distributions of data and target variables are different
• A shrinkage predictive distribution for multivariate normal observables
• Exact Minimax Strategies for Predictive Density Estimation, Data Compression, and Model Selection
• scientific article; zbMATH DE number 3967676 (Why is no real title available?)
• Asymptotic minimax risk of predictive density estimation for non-parametric regression
• Predictive density criterion for SETAR models
• Improved shrinkage prediction under a spiked covariance structure
• scientific article; zbMATH DE number 7750677 (Why is no real title available?)
• Empirical Bayes predictive densities for high-dimensional normal models
• Bayesian prediction and estimation based on a shrinkage prior for a Poisson regression model
• Predictive densities for multivariate normal models based on extended models and shrinkage Bayes methods
• Bayesian predictive densities based on latent information priors
• Simultaneous prediction for independent Poisson processes with different durations
• Approximate predictive densities and their applications in generalized linear models
• Admissible predictive density estimation
• Bayesian shrinkage prediction for the regression problem

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