Bayesian inference and prediction for mean-mixtures of normal distributions

DOI10.1214/23-EJS2142MaRDI QIDQ6135073zbMATH OpenFDO

Authors

Publication date 23 August 2023

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.00629, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-17/issue-2/Bayesian-inference-and-prediction-for-mean-mixtures-of-normal-distributions/10.1214/23-EJS2142.full

zbMATH Keywords

minimaxskew-normal distributionmultivariate normaldominanceKullback-Leibler lossminimum risk equivariantBayes predictive densitymean mixtures

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Compound decision problems in statistical decision theory (62C25)

Abstract: We study frequentist risk properties of predictive density estimators for mean mixtures of multivariate normal distributions, involving an unknown location parameter $hetainmathbb{R}^d$, and which include multivariate skew normal distributions. We provide explicit representations for Bayesian posterior and predictive densities, including the benchmark minimum risk equivariant (MRE) density, which is minimax and generalized Bayes with respect to an improper uniform density for $heta$. For four dimensions or more, we obtain Bayesian densities that improve uniformly on the MRE density under Kullback-Leibler loss. We also provide plug-in type improvements, investigate implications for certain type of parametric restrictions on $heta$, and illustrate and comment the findings based on numerical evaluations.

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Cited in

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