Proper Bayes and minimax predictive densities related to estimation of a normal mean matrix

DOI10.1016/J.JMVA.2017.05.004MaRDI QIDQ2011522zbMATH OpenOpenAlexFDO

Authors Hisayuki Tsukuma, Tatsuya Kubokawa

Publication date 3 August 2017

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2017.05.004

zbMATH Keywords

generalized Bayes estimatorinadmissibilitystatistical decision theoryadmissibilityshrinkage estimatorminimaxityKullback-Leibler lossGauss' divergence theorem

Mathematics Subject Classification ID

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

Recommendations

• Improved minimax predictive densities under Kullback-Leibler loss
• Proper Bayes minimax estimators of the normal mean matrix with common unknown variances
• PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION
• Improved prediction for a multivariate normal distribution with unknown mean and variance
• Asymptotically minimax Bayes predictive densities

Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3862243 (Why is no real title available?)
• scientific article; zbMATH DE number 4096587 (Why is no real title available?)
• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• scientific article; zbMATH DE number 1391247 (Why is no real title available?)
• A shrinkage predictive distribution for multivariate normal observables
• A unified and broadened class of admissible minimax estimators of a multivariate normal mean
• Admissibility and minimaxity of Bayes estimators for a normal mean matrix
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
• Admissible predictive density estimation
• Empirical Bayes on vector observations: An extension of Stein's method
• Estimation of the mean of a multivariate normal distribution
• Estimation with quadratic loss.
• From minimax shrinkage estimation to minimax shrinkage prediction
• Goodness of prediction fit
• Improved minimax predictive densities under Kullback-Leibler loss
• Minimax Bayes estimators of a multivariate normal mean
• Multivariate empirical Bayes and estimation of covariance matrices
• On estimation of matrix of normal mean
• Posterior propriety and admissibiity of hyperpriors in normal hierarchical models
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Proper Bayes and minimax predictive densities related to estimation of a normal mean matrix
• Selecting a minimax estimator doing well at a point
• Singular value shrinkage priors for Bayesian prediction

Cited in

(11)

• Proper Bayes and minimax predictive densities related to estimation of a normal mean matrix
• Density prediction and the Stein phenomenon
• Matrix variate density estimation with additional information
• Bayesian predictive densities based on superharmonic priors for the 2-dimensional Wishart model
• Empirical Bayes minimax estimators of matrix normal means
• Improved minimax predictive densities under Kullback-Leibler loss
• Empirical Bayes predictive densities for high-dimensional normal models
• Generalized Bayes estimators with closed forms for the normal mean and covariance matrices
• Bayesian predictive density estimation for a chi-squared model using information from a normal observation with unknown mean and variance
• Proper Bayes and Minimax Predictive Densities for a Matrix-variate Normal Distribution
• PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION

This page was built for publication: Proper Bayes and minimax predictive densities related to estimation of a normal mean matrix

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2011522)