This paper is concerned with estimation of a predictive density with parametric constraints under Kullback–Leibler loss. When an invariance structure is embedded in the problem, general and unified conditions for the minimaxity of the best equivariant predictive density estimator are derived....

In estimation of the normal covariance matrix, finding a least favorable sequence of prior distributions has been an open question for a long time. This paper addresses the classical problem and accomplishes the specification of such a sequence, which establishes minimaxity of the best...