- Volume 5, Number 1 (1999), 163-176.
On the relationship between α connections and the asymptotic properties of predictive distributions
In a recent paper, Komaki studied the second-order asymptotic properties of predictive distributions, using the Kullback-Leibler divergence as a loss function. He showed that estimative distributions with asymptotically efficient estimators can be improved by predictive distributions that do not belong to the model. The model is assumed to be a multidimensional curved exponential family. In this paper we generalize the result assuming as a loss function any f divergence. A relationship arises between α connections and optimal predictive distributions. In particular, using an α divergence to measure the goodness of a predictive distribution, the optimal shift of the estimate distribution is related to α-covariant derivatives. The expression that we obtain for the asymptotic risk is also useful to study the higher-order asymptotic properties of an estimator, in the mentioned class of loss functions.
Bernoulli, Volume 5, Number 1 (1999), 163-176.
First available in Project Euclid: 12 March 2007
Permanent link to this document
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Corcuera, José M.; Giummolè, Federica. On the relationship between α connections and the asymptotic properties of predictive distributions. Bernoulli 5 (1999), no. 1, 163--176. https://projecteuclid.org/euclid.bj/1173707099