- Bayesian Anal.
- Volume 10, Number 1 (2015), 31-51.
Asymptotic Properties of Bayesian Predictive Densities When the Distributions of Data and Target Variables are Different
Bayesian predictive densities when the observed data and the target variable to be predicted have different distributions are investigated by using the framework of information geometry. The performance of predictive densities is evaluated by the Kullback–Leibler divergence. The parametric models are formulated as Riemannian manifolds. In the conventional setting in which and have the same distribution, the Fisher–Rao metric and the Jeffreys prior play essential roles. In the present setting in which and have different distributions, a new metric, which we call the predictive metric, constructed by using the Fisher information matrices of and , and the volume element based on the predictive metric play the corresponding roles. It is shown that Bayesian predictive densities based on priors constructed by using non-constant positive superharmonic functions with respect to the predictive metric asymptotically dominate those based on the volume element prior of the predictive metric.
Bayesian Anal. Volume 10, Number 1 (2015), 31-51.
First available in Project Euclid: 28 January 2015
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Komaki, Fumiyasu. Asymptotic Properties of Bayesian Predictive Densities When the Distributions of Data and Target Variables are Different. Bayesian Anal. 10 (2015), no. 1, 31--51. doi:10.1214/14-BA886. https://projecteuclid.org/euclid.ba/1422468422