The Pólya sum kernel and Bayes estimation

Details The Pólya sum kernel and Bayes estimation The Pólya sum kernel and Bayes estimation

2012-02-21

arxiv.org/abs/1202.4696v1

Mathematics

Probability

Scientific paper

We consider a particular Cox process from a Bayesian viewpoint and show that the Bayes estimator of the intensity measure is the so-called P\'olya sum kernel, which occurred recently in the context of the construction of the so-called Papangelou processes. More precisely, if the prior, the directing measure of the Cox process, is a Poisson-Gamma random measure, then the posterior is again a Poisson-Gamma random measure and the Bayes estimator of the intensity is the P\'olya sum kernel. Moreover, we extend this result to doubly stochastic Poisson-Gamma priors and give conditions under which one can identify the Bayes estimator for the intensity.

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