Proper Bayes and Minimax Predictive Densities for a Matrix-variate Normal Distribution

DOI10.1016/J.JMVA.2017.05.004MaRDI QIDQ6284959arXivFDO

Authors Hisayuki Tsukuma, Tatsuya Kubokawa

Publication date 30 March 2017

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.JMVA.2017.05.004

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Admissibility in statistical decision theory (62C15) Minimax procedures in statistical decision theory (62C20) Estimation in multivariate analysis (62H12)

arXiv classification

math.STstat.TH

Abstract: This paper deals with the problem of estimating predictive densities of a matrix-variate normal distribution with known covariance matrix. Our main aim is to establish some Bayesian predictive densities related to matricial shrinkage estimators of the normal mean matrix. The Kullback-Leibler loss is used for evaluating decision-theoretical optimality of predictive densities. It is shown that a proper hierarchical prior yields an admissible and minimax predictive density. Also, superharmonicity of prior densities is paid attention to for finding out a minimax predictive density with good numerical performance.

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