Optimal shrinkage estimation of predictive densities under $\alpha$-divergences

Keisuke Yano, Gourab Mukherjee, Edward I. George

Publication date: 21 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/bayesian-analysis/volume-16/issue-4/Optimal-Shrinkage-Estimation-of-Predictive-Densities-Under-%ce%b1-Divergences/10.1214/21-BA1264.full

zbMATH Keywords

empirical Bayes; predictive inference; predictive density; risk estimation; optimal shrinkage; $\alpha$-divergences

Mathematics Subject Classification ID

60G42: Martingales with discrete parameter

62-XX: Statistics

60F15: Strong limit theorems

62L20: Stochastic approximation

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Optimal shrinkage estimation of predictive densities under \(\alpha\)-divergences