On Predictive Density Estimation under $α$-divergence Loss

Abstract: Based on $X \sim N_d(\theta, \sigma^2_X I_d)$, we study the efficiency of predictive densities under $\alpha-$divergence loss $L_{\alpha}$ for estimating the density of $Y \sim N_d(\theta, \sigma^2_Y I_d)$. We identify a large number of cases where improvement on a plug-in density are obtainable by expanding the variance, thus extending earlier findings applicable to Kullback-Leibler loss. The results and proofs are unified with respect to the dimension $d$, the variances $\sigma^2_X$ and $\sigma^2_Y$, the choice of loss $L_{\alpha}$; $\alpha \in (-1,1)$. The findings also apply to a large number of plug-in densities, as well as for restricted parameter spaces with $\theta \in \Theta \subset \mathbb{R}^d$. The theoretical findings are accompanied by various observations, illustrations, and implications dealing for instance with robustness with respect to the model variances and simultaneous dominance with respect to the loss.