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

DOI10.1109/TIT.2004.836922MaRDI QIDQ3547248zbMATH OpenFDO

Authors Feng Liang, Andrew R. Barron

Publication date 21 December 2008

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

Mathematics Subject Classification ID

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

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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
• Minimaxity in predictive density estimation with parametric constraints
• On improved predictive density estimation with parametric constraints
• Exact minimax estimation of the predictive density in sparse Gaussian models
• scientific article; zbMATH DE number 7625184 (Why is no real title available?)
• From minimax shrinkage estimation to minimax shrinkage prediction
• Minimax predictive density for sparse count data
• E-statistics, group invariance and anytime-valid testing
• Bayesian predictive densities based on superharmonic priors for the 2-dimensional Wishart model
• Asymptotically minimax Bayes predictive densities
• 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
• A study of regularized Gaussian classifier in high-dimension small sample set case based on MDL principle with application to spectrum recognition
• PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION
• On efficient prediction and predictive density estimation for normal and spherically symmetric models
• On predictive density estimation for gamma models with parametric constraints

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