Improved minimax predictive densities under Kullback-Leibler loss

DOI10.1214/009053606000000155zbMath1091.62003arXivmath/0605432OpenAlexW2056860084MaRDI QIDQ2493546

Xinyi Xu, Edward I. George, Feng Liang

Publication date: 21 June 2006

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

Full work available at URL: https://arxiv.org/abs/math/0605432

zbMATH Keywords

heat equationshrinkage estimationinadmissibilitymultivariate normalunbiased risk estimationBayes rulesmultiple shrinkagesuperharmonic priorssuperharmonic marginals

Mathematics Subject Classification ID

Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

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