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math.ST2015
Uniform Correlation Mixture of Bivariate Normal Distributions and Hypercubically-contoured Densities That Are Marginally Normal
Kai Zhang, Lawrence D. Brown, Edward George +1
The bivariate normal density with unit variance and correlation is well-known. We show that by integrating out , the result is a function of the maximum norm. The Bayesian i…
math.ST2015★ 3 cited
Efficient Empirical Bayes prediction under check loss using Asymptotic Risk Estimates
Gourab Mukherjee, Lawrence D. Brown, Paat Rusmevichientong
We develop a novel Empirical Bayes methodology for prediction under check loss in high-dimensional Gaussian models. The check loss is a piecewise linear loss function having differ…