Regression with I-priors

Econometrics and Statistics(2020)

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摘要
•A new and proper objective prior for parametric and nonparametric regression functions based on the Fisher information.•Methodology has better theoretical properties and practical performance than Tikhonov regularization.•Competitive real data performance.
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关键词
Classification,Empirical bayes,Fisher information,Functional data analysis,g-prior,Maximum entropy,Nonparametric regression,Objective prior,Regression,Reproducing kernel,RKHS,Tikhonov regularization
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