On predictive density estimation under \(\alpha\)-divergence loss

DOI10.3103/S1066530719020030zbMath1426.62018arXiv1806.02600MaRDI QIDQ2322946

Éric Marchand, Aziz L'Moudden

Publication date: 29 August 2019

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.02600

zbMATH Keywords

plug-indominancepredictive densitymultivariate normalrestricted parameter spacefrequentist riskvariance expansionHellinger lossalpha-divergence

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20) Point estimation (62F10) Parametric inference under constraints (62F30) Bayesian inference (62F15) Minimax procedures in statistical decision theory (62C20)

Related Items (3)

Optimal shrinkage estimation of predictive densities under \(\alpha\)-divergences ⋮ Predictive density estimators with integrated \(L_1\) loss ⋮ Minimax predictive density for sparse count data

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