Exact Minimax Strategies for Predictive Density Estimation, Data Compression, and Model Selection

DOI10.1109/TIT.2004.836922zbMATH Open1315.94022MaRDI QIDQ3547248FDOQ3547248

Publication date: 21 December 2008

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

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Mathematics Subject Classification ID

Density estimation (62G07) Minimax procedures in statistical decision theory (62C20) Information theory (general) (94A15) Minimax problems in mathematical programming (90C47)

Cited In (27)

On predictive density estimation for location families under integrated squared error loss
Bayesian shrinkage prediction for the regression problem
Asymptotic minimax regret for data compression, gambling, and prediction
Improved prediction for a multivariate normal distribution with unknown mean and variance
Admissible predictive density estimation
Asymptotic minimax risk of predictive density estimation for non-parametric regression
Data Compression and Selection of Variables, with Respect to Exact Inference
Bayesian prediction based on a class of shrinkage priors for location-scale models
On improved predictive density estimation with parametric constraints
Exact minimax estimation of the predictive density in sparse Gaussian models
Minimaxity in predictive density estimation with parametric constraints
Title not available (Why is that?)
From minimax shrinkage estimation to minimax shrinkage prediction
E-statistics, group invariance and anytime-valid testing
Minimax predictive density for sparse count data
Asymptotically minimax Bayes predictive densities
Bayesian predictive densities based on superharmonic priors for the 2-dimensional Wishart model
Improved minimax predictive densities under Kullback-Leibler loss
Nonsubjective priors via predictive relative entropy regret
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
Bayesian inference and prediction for mean-mixtures of normal distributions
Predictive density estimation under the Wasserstein loss
PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION
On efficient prediction and predictive density estimation for normal and spherically symmetric models
A study of regularized Gaussian classifier in high-dimension small sample set case based on MDL principle with application to spectrum recognition
On predictive density estimation for gamma models with parametric constraints

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