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August 2004 Simultaneous prediction of independent Poisson observables
Fumiyasu Komaki
Ann. Statist. 32(4): 1744-1769 (August 2004). DOI: 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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Fumiyasu Komaki. "Simultaneous prediction of independent Poisson observables." Ann. Statist. 32 (4) 1744 - 1769, August 2004.


Published: August 2004
First available in Project Euclid: 4 August 2004

zbMATH: 1092.62036
MathSciNet: MR2089141
Digital Object Identifier: 10.1214/009053604000000445

Primary: 62C15 , 62F15

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

Rights: Copyright © 2004 Institute of Mathematical Statistics

Vol.32 • No. 4 • August 2004
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