A class of proper priors for Bayesian simultaneous prediction of independent Poisson observables

Simultaneous prediction and parameter inference for the independent Poisson observables model are considered. A class of proper prior distributions for Poisson means is introduced. Bayesian predictive densities and estimators based on priors in the introduced class dominate the Bayesian predictive density and estimator based on the Jeffreys prior under Kullback-Leibler loss.

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Year of publication:	2006
Authors:	Komaki, Fumiyasu
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 97.2006, 8, p. 1815-1828
Publisher:	Elsevier
Keywords:	Jeffreys prior Kullback-Leibler divergence Predictive density Shrinkage prior

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005093756