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Proceedings IEEE International Symposium on Information Theory,
For location and scale families of distributions and related settings of linear regression, we determine minimax procedures for predictive density estimation, for universal data compression, and for the minimum description length (MDL) criterion for model selection. The analysis gives the best invariant and indeed minimax procedure for predictive density estimation by directly verifying extended Bayes properties or, alternatively, by general aspects of decision theory on groups which are showndoi:10.1109/isit.2002.1023421 fatcat:ftkulcmmobbsto4gwlifptygiq