Shrinkage priors for circulant correlation structure models

We consider a new statistical model called the circulant correlation structure model, which is a multivariate Gaussian model with unknown covariance matrix and has a scale-invariance property. We construct shrinkage priors for the circulant correlation structure models and show that Bayesian predictive densities based on those priors asymptotically dominate Bayesian predictive densities based on Jeffreys priors under the Kullback-Leibler (KL) risk function. While shrinkage of eigenvalues of covariance matrices of Gaussian models has been successful, the proposed priors shrink a non-eigenvalue part of covariance matrices.