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Bayes Estimation of a Multivariate Density.

Author: Tom Leonard; WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER.
Publisher: Ft. Belvoir Defense Technical Information Center FEB 1982.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
The problem addressed concerns the estimation of a p-dimensional multivariate density, given only a set of n observation vectors, together with information that the density function is likely to be reasonably smooth. A solution is proposed which employs up to n + 1/2 p(p+1) smoothing parameters, all of which may be estimated by their posterior means. This avoids the well-known difficulties, associated with even  Read more...
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Document Type: Book
All Authors / Contributors: Tom Leonard; WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER.
OCLC Number: 227533351
Description: 17 pages

Abstract:

The problem addressed concerns the estimation of a p-dimensional multivariate density, given only a set of n observation vectors, together with information that the density function is likely to be reasonably smooth. A solution is proposed which employs up to n + 1/2 p(p+1) smoothing parameters, all of which may be estimated by their posterior means. This avoids the well-known difficulties, associated with even one-dimensional kernel estimators, of estimating the bandwidth or smoothing parameter by a mathematical procedure. The posterior mean value function, unconditional upon the smoothing parameters, turns out to be a data-based mixture of multivariate t-distributions. The corresponding estimate of the sampling covariance matrix may be viewed as a shrinkage estimator of the Bayes-Stein type. The results involve some finite series which may be evaluated by straightforward simulation procedure. (Author).

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Primary Entity

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