90008138

open access

Accepted Manuscript

Harmonic Bayesian Prediction Under α -Divergence

IEEE Transactions on Information Theory

65(9)

5352-5366

IEEE

2019-05-07

2021-04-15

We investigate Bayesian shrinkage methods for constructing predictive distributions. We consider the multivariate normal model with a known covariance matrix and show that the Bayesian predictive density with respect to Stein's harmonic prior dominates the best invariant Bayesian predictive density when the dimension is greater than or equal to 3. Alpha divergence from the true distribution to a predictive distribution is adopted as a loss function.

minimaxity

学術雑誌論文

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