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Admissible predictive density estimation

Abstract

Let XμNp(μ,vxI)X|\mu\sim N_p(\mu,v_xI) and YμNp(μ,vyI)Y|\mu\sim N_p(\mu,v_yI) be independent pp-dimensional multivariate normal vectors with common unknown mean μ\mu. Based on observing X=xX=x, we consider the problem of estimating the true predictive density p(yμ)p(y|\mu) of YY under expected Kullback--Leibler loss. Our focus here is the characterization of admissible procedures for this problem. We show that the class of all generalized Bayes rules is a complete class, and that the easily interpretable conditions of Brown and Hwang [Statistical Decision Theory and Related Topics (1982) III 205--230] are sufficient for a formal Bayes rule to be admissible.

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