Asymptotically minimax prediction in infinite sequence models

DOI10.1214/17-EJS1312MaRDI QIDQ2408233zbMATH OpenOpenAlexFDO

Authors Keisuke Yano, Fumiyasu Komaki

Publication date 12 October 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.07896, https://projecteuclid.org/euclid.ejs/1505116877

zbMATH Keywords

adaptivityKullback-Leibler divergencenonparametric statisticspredictive distributionStein's prior

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Asymptotic properties of nonparametric inference (62G20)

Abstract: We study asymptotically minimax predictive distributions in an infinite sequence model. First, we discuss the connection between the prediction in the infinite sequence model and the prediction in the function model. Second, we construct an asymptotically minimax predictive distribution when the parameter space is a known ellipsoid. We show that the Bayesian predictive distribution based on the Gaussian prior distribution is asymptotically minimax in the ellipsoid. Third, we construct an asymptotically minimax predictive distribution for any Sobolev ellipsoid. We show that the Bayesian predictive distribution based on the product of Stein's priors is asymptotically minimax for any Sobolev ellipsoid. Finally, we present an efficient sampling method from the proposed Bayesian predictive distribution.

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Cited in

(4)

• Asymptotically minimax Bayesian predictive densities for multinomial models
• Minimax predictive density for sparse count data
• Minimax Prediction of Sequences with Periodically Stationary Increments Observed with Noise and Cointegrated Sequences
• Optimal shrinkage estimation of predictive densities under \(\alpha\)-divergences

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