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Activity Number: 459
Type: Topic Contributed
Date/Time: Wednesday, August 1, 2007 : 2:00 PM to 4:50 PM
Sponsor: IMS
Abstract - #309262
Title: Objective Bayesian Analysis for Estimating the KL Divergence Between Two Normal Populations with Common Covariance Matrix
Author(s): Zhonggai Li*+ and Dongchu Sun
Companies: Virginia Polytechnic Institute and State University and University of Missouri-Columbia
Address: Dept of Statistics, Blacksburg, VA, 24061-0439,
Keywords: KL divergence ; reference prior ; objective prior
Abstract:

In order to compare the two multivariate normal populations with the common covariance matrix, one could consider the Kullback-Leibler (KL) divergence between the two populations, which is proportional to the distance between the two means, weighted by the common precision matrix. In this paper, various objective priors such as the Jeffreys prior, invariance priors and reference priors are studied. Frequentist properties of Bayesian procedures using objective priors are also studied.

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Revised September, 2007