Bayesian predictive densities for linear regression models under α -divergence loss: Some results and open problems

DOI10.1214/11-IMSCOLL803MaRDI QIDQ5499700zbMATH OpenFDO

Authors Yuzo Maruyama, William E. Strawderman

Publication date 30 July 2015

Published in Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1002.3786

zbMATH Keywords

alpha-divergenceBayesian predictive densityshrinkage priorStein effect

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07)

Abstract: This paper considers estimation of the predictive density for a normal linear model with unknown variance under alpha-divergence loss for -1 <= alpha <= 1. We first give a general canonical form for the problem, and then give general expressions for the generalized Bayes solution under the above loss for each alpha. For a particular class of hierarchical generalized priors studied in Maruyama and Strawderman (2005, 2006) for the problems of estimating the mean vector and the variance respectively, we give the generalized Bayes predictive density. Additionally, we show that, for a subclass of these priors, the resulting estimator dominates the generalized Bayes estimator with respect to the right invariant prior when alpha=1, i.e., the best (fully) equivariant minimax estimator.

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