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{1091626186,
author = {Komaki, Fumiyasu},
title = {Simultaneous prediction of independent Poisson observables},
journal = {Ann. Statist.},
volume = {32},
number = {1},
year = {2004},
pages = { 1744-1769},
language = {en},
url = {http://dml.mathdoc.fr/item/1091626186}
}
Komaki, Fumiyasu. Simultaneous prediction of independent Poisson observables. Ann. Statist., Tome 32 (2004) no. 1, pp. 1744-1769. http://gdmltest.u-ga.fr/item/1091626186/