The Annals of Statistics

Simultaneous prediction of independent Poisson observables

Fumiyasu Komaki

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Abstract

Simultaneous predictive distributions for independent Poisson observables are investigated. A class of improper prior distributions for Poisson means is introduced. The Bayesian predictive distributions based on priors from the introduced class are shown to be admissible under the Kullback–Leibler loss. A Bayesian predictive distribution based on a prior in this class dominates the Bayesian predictive distribution based on the Jeffreys prior.

Article information

Source
Ann. Statist., Volume 32, Number 4 (2004), 1744-1769.

Dates
First available in Project Euclid: 4 August 2004

Permanent link to this document
https://projecteuclid.org/euclid.aos/1091626186

Digital Object Identifier
doi:10.1214/009053604000000445

Mathematical Reviews number (MathSciNet)
MR2089141

Zentralblatt MATH identifier
1092.62036

Subjects
Primary: 62F15: Bayesian inference 62C15: Admissibility

Keywords
Admissibility Jeffreys prior Kullback–Leibler divergence predictive distribution shrinkage prior

Citation

Komaki, Fumiyasu. Simultaneous prediction of independent Poisson observables. Ann. Statist. 32 (2004), no. 4, 1744--1769. doi:10.1214/009053604000000445. https://projecteuclid.org/euclid.aos/1091626186


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