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

admissibilityGauss' divergence theoremgeneralized Bayes estimatorinadmissibilityKullback-Leibler lossminimaxityshrinkage estimatorstatistical decision theory

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)

Recommendations

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• 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

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• Singular value shrinkage priors for Bayesian prediction

Cited in

(12)

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

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