PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION

DOI10.1017/S0266466608080213zbMath1284.62171OpenAlexW2147040337MaRDI QIDQ3632388

Xinyi Xu, Edward I. George

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080213

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

Related Items

On minimax optimality of sparse Bayes predictive density estimates, Asymptotic properties of Bayesian predictive densities when the distributions of data and target variables are different, From minimax shrinkage estimation to minimax shrinkage prediction, Unnamed Item, Asymptotic minimax risk of predictive density estimation for non-parametric regression, Bayesian shrinkage prediction for the regression problem, Simultaneous prediction for independent Poisson processes with different durations, Unnamed Item

Cites Work

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• Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems