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

DOI10.1016/J.JMVA.2017.05.004zbMATH Open1368.62017OpenAlexW2620075508MaRDI QIDQ2011522FDOQ2011522

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

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

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)

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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
• Generalized Bayes estimators with closed forms for the normal mean and covariance matrices
• Empirical Bayes predictive densities for high-dimensional normal models
• Bayesian predictive density estimation for a chi-squared model using information from a normal observation with unknown mean and variance
• PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION
• Proper Bayes and Minimax Predictive Densities for a Matrix-variate Normal Distribution

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