Simultaneous prediction of independent Poisson observables

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.

Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Statistics (http://www.imstat.org/aos/) at http://dx.doi.org/10.1214/009053604000000445

References in corpus (1)

• Shrinkage priors for Bayesian prediction

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