Simultaneous prediction of independent Poisson observables

Details Simultaneous prediction of independent Poisson observables Simultaneous prediction of independent Poisson observables

2004-10-05

arxiv.org/abs/math/0410094v1

Annals of Statistics 2004, Vol. 32, No. 4, 1744-1769

Mathematics

Statistics Theory

Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Statistics (http://www.imstat

Scientific paper

10.1214/009053604000000445

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.

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