Sparsity and shrinkage in predictive densityestimation
2013
We develop new perspectives on the roles of sparsity
and shrinkage in predictive density estimation under
Kullback-Leibler loss. Our results explain and extend some recently
observed information theoretic connections between predictive
density estimation and the well-studied normal mean estimation
problem. We find new phenomena in sparse minimax prediction which
contrast with point estimation theory results and are explained by
the new notion of risk diversification. We generalize these new
uncertainty sharing ideas to address the nature of optimal
shrinkage over unconstrained parameter spaces. Our density
estimates can be used to construct competitively optimal
probability forecasts and our results give some theoretical support
to log-optimality based forecasting techniques used in the fields
of weather forecasting, financial investments and sports betting.
Motivational stories and examples from the world of sports, stock
markets and wind speed profiles are used to suggest the scope of
the theory developed in this thesis.
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