Improved minimax predictive densities under Kullback--Leibler loss

Edward I. George, Feng Liang, 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 only observing $X=x$, we consi…