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most citedOn Minimax Optimality of Sparse Bayes Predictive Density Estimates

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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…