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A Shrinkage Predictive Distribution for Multivariate Normal Observables
Vol. 88, No. 3 (Sep., 2001), pp. 859-864
Stable URL: http://www.jstor.org/stable/2673452
Page Count: 6
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We investigate shrinkage methods for constructing predictive distributions. We consider the multivariate Normal model with a known covariance matrix and show that there exists a shrinkage predictive distribution dominating the Bayesian predictive distribution based on the vague prior when the dimension is not less than three. Kullback-Leibler divergence from the true distribution to a predictive distribution is adopted as a loss function.
Biometrika © 2001 Biometrika Trust