Harmonic Bayesian prediction under alpha-divergence

Yuzo Maruyama; Toshio Ohnishi

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arXiv · 1605.05899

Harmonic Bayesian prediction under alpha-divergence

Yuzo Maruyama·Toshio Ohnishi

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Abstract

We investigate Bayesian shrinkage methods for constructing predictive distributions. 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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Yuzo Maruyama, Toshio Ohnishi. 2017-07-28. Harmonic Bayesian prediction under alpha-divergence. https://arxiv.org/abs/1605.05899

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