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Activity Number:
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427
- SPEED: Bayesian Methods, Part 2
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Type:
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Contributed
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Date/Time:
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Tuesday, July 30, 2019 : 3:05 PM to 3:50 PM
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Sponsor:
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Section on Bayesian Statistical Science
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Abstract #307871
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Title:
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Predictive Density Estimation of Multivariate Skew-Normal Distribution
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Author(s):
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Othmane Kortbi*
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Companies:
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UAE University Al-Ain
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Keywords:
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Predictive density;
Skew-normal distribution;
Kullback–Leibler loss;
Bayes estimator;
Minimum risk equivariant;
Dominance
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Abstract:
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This work studies decision theoretic properties of predictive density estimators for multivariate skew-normal distribution with known skewness parameters under Kullback-Leibler loss. We investigated the properties of the benchmark estimator which is the the minimum risk equivariant predictive density estimator. A wide class of plug-in estimators improving on the best equivariant estimator is constructed when the dimension of the location parameters is larger than or equal to four. A class of Bayes estimators is also considered and their dominance property studied. The performances of these estimators are investigated by simulation.
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Authors who are presenting talks have a * after their name.
