Optimal shrinkage estimation of predictive densities under \(\alpha\)-divergences

DOI10.1214/21-ba1264OpenAlexW3153965506MaRDI QIDQ6117926

Keisuke Yano, Gourab Mukherjee, Edward I. George

Publication date: 21 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/bayesian-analysis/volume-16/issue-4/Optimal-Shrinkage-Estimation-of-Predictive-Densities-Under-%ce%b1-Divergences/10.1214/21-BA1264.full

zbMATH Keywords

empirical Bayespredictive inferencepredictive densityrisk estimationoptimal shrinkage\(\alpha\)-divergences

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Statistics (62-XX) Strong limit theorems (60F15) Stochastic approximation (62L20)

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