Asymptotically minimax Bayes predictive densities

DOI10.1214/009053606000000885zbMATH Open1114.62039arXiv0708.0177OpenAlexW3101248073MaRDI QIDQ2373585FDOQ2373585

Authors: Mihaela Aslan 

Publication date: 12 July 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Given a random sample from a distribution with density function that depends on an unknown parameter $heta$, we are interested in accurately estimating the true parametric density function at a future observation from the same distribution. The asymptotic risk of Bayes predictive density estimates with Kullback--Leibler loss function $D(f_{heta}||hatf)=int{f}_{heta}log(f_{heta}/hatf)$ is used to examine various ways of choosing prior distributions; the principal type of choice studied is minimax. We seek asymptotically least favorable predictive densities for which the corresponding asymptotic risk is minimax. A result resembling Stein's paradox for estimating normal means by the maximum likelihood holds for the uniform prior in the multivariate location family case: when the dimensionality of the model is at least three, the Jeffreys prior is minimax, though inadmissible. The Jeffreys prior is both admissible and minimax for one- and two-dimensional location problems.

Full work available at URL: https://arxiv.org/abs/0708.0177

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zbMATH Keywords

Jeffreys priorminimax riskKullback-Leibler lossasymptotically least favourable priors

Mathematics Subject Classification ID

Density estimation (62G07) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

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• Asymptotic properties of Bayesian predictive densities when the distributions of data and target variables are different
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• PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION
• On minimax optimality of sparse Bayes predictive density estimates

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