Bayesian prediction based on a class of shrinkage priors for location-scale models

DOI10.1007/s10463-006-0102-4zbMath1108.62026OpenAlexW2011512264MaRDI QIDQ878182

Fumiyasu Komaki

Publication date: 26 April 2007

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0102-4

zbMATH Keywords

Kullback-Leibler divergenceJeffreys priorAsymptotic theoryNeyman-Scott modelMultivariate modelsRight invariant prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistical aspects of information-theoretic topics (62B10)

Related Items (4)

Asymptotic properties of Bayesian predictive densities when the distributions of data and target variables are different ⋮ Predictive density estimation under the Wasserstein loss ⋮ Chain Rule Optimal Transport ⋮ On efficient prediction and predictive density estimation for normal and spherically symmetric models

Cites Work

• The maximum likelihood prior
• Jeffreys' prior is asymptotically least favorable under entropy risk
• Differential-geometrical methods in statistics
• Shrinkage priors for Bayesian prediction
• A representation of Bayes invariant procedures in terms of Haar measure
• Exact Minimax Strategies for Predictive Density Estimation, Data Compression, and Model Selection
• On asymptotic properties of predictive distributions
• Goodness of prediction fit
• Two new properties of mathematical likelihood
• Consistent Estimates Based on Partially Consistent Observations
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