Asymptotically minimax Bayes predictive densities

DOI10.1214/009053606000000885zbMath1114.62039arXiv0708.0177OpenAlexW3101248073MaRDI QIDQ2373585

Mihaela Aslan

Publication date: 12 July 2007

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

Full work available at URL: https://arxiv.org/abs/0708.0177

zbMATH Keywords

minimax riskJeffreys priorKullback-Leibler lossasymptotically least favourable priors

Mathematics Subject Classification ID

Density estimation (62G07) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

Related Items (7)

On minimax optimality of sparse Bayes predictive density estimates ⋮ Asymptotically minimax Bayes predictive densities ⋮ Asymptotic minimax risk of predictive density estimation for non-parametric regression ⋮ Unnamed Item ⋮ Improved minimax predictive densities under Kullback-Leibler loss ⋮ Minimax predictive density for sparse count data ⋮ Exact minimax estimation of the predictive density in sparse Gaussian models

Cites Work

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• On asymptotic properties of predictive distributions
• On the estimation of parametric density functions
• Goodness of prediction fit
• A Note on the Estimation of Probability Density Functions
• Invariant Prior Distributions
• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems

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