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math.ST2012
On the within-family Kullback-Leibler risk in Gaussian Predictive models
Gourab Mukherjee, Iain M. Johnstone
We consider estimating the predictive density under Kullback-Leibler loss in a high-dimensional Gaussian model. Decision theoretic properties of the within-family prediction error…
math.ST2012★ 19 cited
Exact minimax estimation of the predictive density in sparse Gaussian models
Gourab Mukherjee, Iain M. Johnstone
We consider estimating the predictive density under Kullback-Leibler loss in an sparse Gaussian sequence model. Explicit expressions of the first order minimax risk along…