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On efficient prediction and predictive density estimation...
Dominique Fourdrinier, Éric Marchand, William E. Strawderman · 2018-07-13 · via math.ST updates on arXiv.org

Let $X,U,Y$ be spherically symmetric distributed having density $$η^{d +k/2} \, f\left(η(\|x-θ|^2+ \|u\|^2 + \|y-cθ\|^2 ) \right)\,,$$ with unknown parameters $θ\in \mathbb{R}^d$ and $η>0$, and with known density $f$ and constant $c >0$. Based on observing $X=x,U=u$, we consider the problem of obtaining a predictive density $\hat{q}(y;x,u)$ for $Y$ as measured by the expected Kullback-Leibler loss. A benchmark procedure is the minimum risk equivariant density $\hat{q}_{mre}$, which is Generalized Bayes with respect to the prior $π(θ, η) = η^{-1}$. For $d \geq 3$, we obtain improvements on $\hat{q}_{mre}$, and further show that the dominance holds simultaneously for all $f$ subject to finite moments and finite risk conditions. We also obtain that the Bayes predictive density with respect to the harmonic prior $π_h(θ, η) =η^{-1} \|θ\|^{2-d}$ dominates $\hat{q}_{mre}$ simultaneously for all scale mixture of normals $f$.