Asymptotically minimax Bayes predictive densities

DOI10.1214/009053606000000885MaRDI QIDQ2373585zbMATHOpenAlexFDO

Authors Mihaela Aslan

Publication date 12 July 2007

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

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

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)

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.

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Cited in

(22)

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• Minimax predictive density for sparse count data
• Bayesian predictive densities based on superharmonic priors for the 2-dimensional Wishart model
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• Asymptotically minimax Bayesian predictive densities for multinomial models
• Asymptotically minimax prediction in infinite sequence models
• PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION
• Asymptotic minimax risk of predictive density estimation for non-parametric regression
• scientific article; zbMATH DE number 7625184 (Why is no real title available?)
• Bayesian predictive densities based on latent information priors
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• Exact minimax estimation of the predictive density in sparse Gaussian models
• Asymptotic optimality of hierarchical Bayes estimators and predictors
• Asymptotically minimax Bayes predictive densities
• Improved minimax predictive densities under Kullback-Leibler loss

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