Activity Number:
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569
- Recent Advances in Predictive Inference
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 2, 2017 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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Abstract #322783
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View Presentation
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Title:
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Harmonic Bayesian Prediction Under Alpha-Divergence
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Author(s):
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Yuzo Maruyama*
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Companies:
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The University of Tokyo
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Keywords:
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predictive density ;
minimaxity ;
alpha divergence ;
Bayesian shrinkage method
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Abstract:
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Bayesian shrinkage methods for constructing predictive distributions are investigated. 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 three. Alpha-divergence from the true distribution to a predictive distribution is adopted as a loss function.
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Authors who are presenting talks have a * after their name.
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