PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION
نویسندگان
چکیده
منابع مشابه
Predictive Density Estimation for Multiple Regression
Suppose we observe X ∼ Nm(Aβ, σI) and would like to estimate the predictive density p(y | β) of a future Y ∼ Nn(Bβ, σI). Evaluating predictive estimates p̂(y | x) by KullbackLeibler loss, we develop and evaluate Bayes procedures for this problem. We obtain general sufficient conditions for minimaxity and dominance of the “noninformative” uniform prior Bayes procedure. We extend these results to ...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2008
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466608080213