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Activity Number: 569 - Recent Advances in Predictive Inference
Type: Topic Contributed
Date/Time: Wednesday, August 2, 2017 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract #322783 View Presentation
Title: Harmonic Bayesian Prediction Under Alpha-Divergence
Author(s): Yuzo Maruyama*
Companies: The University of Tokyo
Keywords: predictive density ; minimaxity ; alpha divergence ; Bayesian shrinkage method
Abstract:

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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