Admissible predictive density estimation

DOI10.1214/07-AOS506zbMATH Open1216.62012OpenAlexW2131002462MaRDI QIDQ930650FDOQ930650

Authors Lawrence Brown, Edward I. George, Xinyi Xu 

Publication date 1 July 2008

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0806.2914

zbMATH Keywords

prior distributionsBayesian predictive distribution

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Complete class results in statistical decision theory (62C07) Admissibility in statistical decision theory (62C15)

Abstract: Let $X|musim{N}_p(mu,v_{x}I)$ and $Y|musim{N}_p(mu,v_{y}I)$ be independent $p$-dimensional multivariate normal vectors with common unknown mean $mu$. Based on observing $X=x$, we consider the problem of estimating the true predictive density $p(y|mu)$ of $Y$ under expected Kullback--Leibler loss. Our focus here is the characterization of admissible procedures for this problem. We show that the class of all generalized Bayes rules is a complete class, and that the easily interpretable conditions of Brown and Hwang [Statistical Decision Theory and Related Topics (1982) III 205--230] are sufficient for a formal Bayes rule to be admissible.

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