Bayesian shrinkage prediction for the regression problem

DOI10.1016/J.JMVA.2008.01.014zbMATH Open1169.62019arXivmath/0701583OpenAlexW2039318965MaRDI QIDQ953850FDOQ953850

Authors: Kei Kobayashi, Fumiyasu Komaki 

Publication date: 6 November 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We consider Bayesian shrinkage predictions for the Normal regression problem under the frequentist Kullback-Leibler risk function. Firstly, we consider the multivariate Normal model with an unknown mean and a known covariance. While the unknown mean is fixed, the covariance of future samples can be different from training samples. We show that the Bayesian predictive distribution based on the uniform prior is dominated by that based on a class of priors if the prior distributions for the covariance and future covariance matrices are rotation invariant. Then, we consider a class of priors for the mean parameters depending on the future covariance matrix. With such a prior, we can construct a Bayesian predictive distribution dominating that based on the uniform prior. Lastly, applying this result to the prediction of response variables in the Normal linear regression model, we show that there exists a Bayesian predictive distribution dominating that based on the uniform prior. Minimaxity of these Bayesian predictions follows from these results.

Full work available at URL: https://arxiv.org/abs/math/0701583

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zbMATH Keywords

Kullback-Leibler divergenceBayesian predictionsuperharmonic functionsnormal regressionminimaxityshrinkage estimation

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian problems; characterization of Bayes procedures (62C10)

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Cited In (19)

• Asymptotic properties of Bayesian predictive densities when the distributions of data and target variables are different
• Bayesian prediction and estimation based on a shrinkage prior for a Poisson regression model
• Bayesian prediction based on a class of shrinkage priors for location-scale models
• Predictive densities for multivariate normal models based on extended models and shrinkage Bayes methods
• Highest predictive density estimator in regression models
• Simultaneous prediction for independent Poisson processes with different durations
• From minimax shrinkage estimation to minimax shrinkage prediction
• Minimax predictive density for sparse count data
• Using the Bayesian Shtarkov solution for predictions
• Inadmissibility of the corrected Akaike information criterion
• Shrinkage priors for Bayesian prediction
• Singular value shrinkage priors for Bayesian prediction
• A shrinkage predictive distribution for multivariate normal observables
• Random projections for Bayesian regression
• Title not available (Why is that?)
• On minimax optimality of sparse Bayes predictive density estimates
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• Prediction risk for the horseshoe regression

Uses Software

• ElemStatLearn

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