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Harmonic Bayesian Prediction Under --Divergence | IEEE Journals & Magazine | IEEE Xplore

Harmonic Bayesian Prediction Under \alpha -Divergence


Abstract:

We investigate Bayesian shrinkage methods for constructing predictive distributions. We consider the multivariate normal model with a known covariance matrix and show tha...Show More

Abstract:

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.
Published in: IEEE Transactions on Information Theory ( Volume: 65, Issue: 9, September 2019)
Page(s): 5352 - 5366
Date of Publication: 07 May 2019

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