On Predictive Density Estimation under $\alpha$-divergence Loss

Aziz L'Moudden, Éric Marchand

Based on $X\sim N_d(\theta ,{\sigma }_X^2{I}_d)$, we study the efficiency of predictive densities under $\alpha -$divergence loss $L_{\alpha }$ for estimating the density of $Y\sim N_d(\theta ,{\sigma }_Y^2{I}_d)$. We id…