Admissible predictive density estimation

Lawrence D. Brown, Edward I. George, Xinyi Xu

Let $X|\mu \sim N_p(\mu ,v_{x}I)$ and $Y|\mu \sim N_p(\mu ,v_{y}I)$ be independent $p$-dimensional multivariate normal vectors with common unknown mean $\mu$. Based on observing $X=x$, we consider t…