Kobayashi, Kei; Komaki, Fumiyasu - In: Journal of Multivariate Analysis 99 (2008) 9, pp. 1888-1905
We consider Bayesian shrinkage predictions for the Normal regression problem under the frequentist Kullback-Leibler risk function. Firstly, we consider the multivariate Normal model with an unknown mean and a known covariance. While the unknown mean is fixed, the covariance of future samples can...