On Predictive Density Estimation for Location Families under Integrated L 2 and L 1 Losses

Tatsuya Kubokawa, Éric Marchand and William E. Strawderman
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Tatsuya Kubokawa: Faculty of Economics, The University of Tokyo
Éric Marchand: Université de Sherbrooke, Departement de mathématiques
William E. Strawderman: Rutgers University, Department of Statistics and Biostatistics,

No CIRJE-F-935, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: Our investigation concerns the estimation of predictive densities and a study of effiency as measured by the frequentist risk of such predictive densities with integrated L2 and L1 losses. Our findings relate to a p-variate spherically symmetric observable X ∼ px (||x -μ||2) and the objective of estimating the density of Y ∼ qY (||y - μ||2) based on X. For L2 loss, we describe Bayes estimation, minimum risk equivariant estimation (MRE), and minimax estimation. We focus on the risk performance of the benchmark minimum risk equivariant estimator, plug-in estimators, and plug-in type estimators with expanded scale. For the multivariate normal case, we make use of a duality result with a point estimation problem bringing into play reflected normal loss. In three of more dimensions (i.e., p ≥ 3), we show that the MRE estimator is inadmissible under L2 loss and provide dominating estimators. This brings into play Stein-type results for estimating a multivariate normal mean with a loss which is a concave and increasing function of ||δ - μ||2. We also study the phenomenon of improvement on the plug-in density estimator of the form qY (||y - aX ||2), 0 1, showing in some cases, inevitably for large enough p, that all choices c > 1 are dominating estimators. Extensions are obtained for scale mixture of normals including a general inadmissibility result of the MRE estimator for p ≥ 3. Finally, we describe and expand on analogous plug-in dominance results for spherically symmetric distributions with p ≥ 4 under L1 loss.

Pages: 34 pages
Date: 2014-07
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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