Improved minimax predictive densities under Kullback–Leibler loss
نویسندگان
چکیده
منابع مشابه
Improved Minimax Predictive Densities under Kullback – Leibler Loss
Let X|μ∼Np(μ,vxI ) and Y |μ∼Np(μ,vyI ) be independent p-dimensional multivariate normal vectors with common unknown mean μ. Based on only observing X = x, we consider the problem of obtaining a predictive density p̂(y|x) for Y that is close to p(y|μ) as measured by expected Kullback–Leibler loss. A natural procedure for this problem is the (formal) Bayes predictive density p̂U(y|x) under the unif...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2006
ISSN: 0090-5364
DOI: 10.1214/009053606000000155