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Minimaxity in Predictive Density Estimation with Parametric Constraints
http://hdl.handle.net/2261/51285
http://hdl.handle.net/2261/51285ac92dc89-f916-4e80-bd1a-35bc0d88a3bb
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Minimaxity in Predictive Density Estimation with Parametric Constraints | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Bayes estimators | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | decision theory | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | dominance | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Kullback-Leibler loss | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | invariance | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | location family | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | location-scale family | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | minimaxity | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | order restriction | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | predictive density | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | restricted parameter space | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | scale family | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | AMS 2000 subject classifications: 62C20, 62C86, 62F10, 62F15, 62F30 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Kubokawa, Tatsuya
× Kubokawa, Tatsuya× Marchand, Éric× Strawderman, William E.× Turcotte, Jean-Philippe |
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著者所属 | ||||||
著者所属 | Department of Economics, University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Département de mathématiques, Université de Sherbrooke | |||||
著者所属 | ||||||
著者所属 | Department of Statistics and Biostatistics, Rutgers University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper is concerned with estimation of a predictive density with parametric constraints under Kullback-Leibler loss. When an invariance structure is embedded in the problem, general and unified conditions for the minimaxity of the best equivariant predictive density estimator are derived. These conditions are applied to check minimaxity in various restricted parameter spaces in location and/or scale families. Further, it is shown that the generalized Bayes estimator against the uniform prior over the restricted space is minimax and dominates the best equivariant estimator in a location family when the parameter is restricted to an interval of the form [a0, ∞). Similar findings are obtained for scale parameter families. Finally, the presentation is accompanied by various observations and illustrations, such as normal, exponential location, and gamma model examples. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-843, 発行日 2012-03 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf843ab.html |