On predictive density estimation with additional information

Éric Marchand, Abdolnasser Sadeghkhani

Based on independently distributed $X_1\sim N_p({\theta }_1,{\sigma }_1^2{I}_p)$ and $X_2\sim N_p({\theta }_2,{\sigma }_2^2{I}_p)$, we consider the efficiency of various predictive density estimators for $Y_1 \…