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arXiv · 1904.02880

Predictive density estimation under the Wasserstein loss

Takeru Matsuda·William E. Strawderman
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Abstract

We investigate predictive density estimation under the $L^2$ Wasserstein loss for location families and location-scale families. We show that plug-in densities form a complete class and that the Bayesian predictive density is given by the plug-in density with the posterior mean of the location and scale parameters. We provide Bayesian predictive densities that dominate the best equivariant one in normal models.

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Takeru Matsuda, William E. Strawderman. 2019-04-05. Predictive density estimation under the Wasserstein loss. https://doi.org/10.1016/j.jspi.2020.05.005

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