Exact minimax estimation of the predictive density in sparse Gaussian models
We consider estimating the predictive density under Kullback–Leibler loss in an ℓ0 sparse
Gaussian sequence model. Explicit expressions of the first order minimax risk along with its …
Gaussian sequence model. Explicit expressions of the first order minimax risk along with its …
On predictive density estimation for Gamma models with parametric constraints
This paper is concerned with prediction for Gamma models, and more specifically the
estimation of a predictive density for Y∼ G a (α 2, β) under Kullback–Leibler loss, based on …
estimation of a predictive density for Y∼ G a (α 2, β) under Kullback–Leibler loss, based on …
[PDF][PDF] New and evolving roles of shrinkage in large-scale prediction and inference
The BIRS workshop “New and Evolving Roles of Shrinkage in Large-Scale Prediction and
Inference” brought in thirty-six experts in statistical theory, methods and related applied …
Inference” brought in thirty-six experts in statistical theory, methods and related applied …
On minimax optimality of sparse Bayes predictive density estimates
We study predictive density estimation under Kullback-Leibler loss in $\ell_0 $-sparse
Gaussian sequence models. We propose proper Bayes predictive density estimates and …
Gaussian sequence models. We propose proper Bayes predictive density estimates and …
Optimal Shrinkage Estimation of Predictive Densities Under α-Divergences
Optimal Shrinkage Estimation of Predictive Densities Under -Divergences Page 1 Bayesian
Analysis (2021) 16, Number 4, pp. 1139–1155 Optimal Shrinkage Estimation of Predictive …
Analysis (2021) 16, Number 4, pp. 1139–1155 Optimal Shrinkage Estimation of Predictive …
On minimax optimality of sparse Bayes predictive density estimates
On minimax optimality of sparse Bayes predictive density estimates Page 1 The Annals of
Statistics 2022, Vol. 50, No. 1, 81–106 https://doi.org/10.1214/21-AOS2086 © Institute of …
Statistics 2022, Vol. 50, No. 1, 81–106 https://doi.org/10.1214/21-AOS2086 © Institute of …
On discrete priors and sparse minimax optimal predictive densities
U Gangopadhyay, G Mukherjee - 2021 - projecteuclid.org
We consider the problem of predictive density estimation under Kullback-Leibler loss in a
high-dimensional Gaussian model with exact sparsity constraints on the location …
high-dimensional Gaussian model with exact sparsity constraints on the location …