An Optimal Prediction Function for the Normal Linear Model

DOI10.2307/2287989zbMath0587.62101OpenAlexW4254356721MaRDI QIDQ3713377

Martin S. Levy, S. K. Perng

Publication date: 1986

Full work available at URL: https://doi.org/10.2307/2287989

zbMATH Keywords

normal linear modelpredictive inferencediffuse priorKullback- Leibler divergenceprediction density

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistical aspects of information-theoretic topics (62B10)

Related Items (5)

A numerical comparison of some prediction densities for the normal linear model ⋮ Predictive efficiency for simple non-linear models ⋮ Empirical Bayes predictive densities for high-dimensional normal models ⋮ Optimal control designs using predicting densities for the multivariate linear model ⋮ A predictive density approach to predicting a future observable in multilevel models

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