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Simultaneous prediction of independent Poisson observables. (English) Zbl 1092.62036

Summary: 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.

MSC:

62F15 Bayesian inference
62C15 Admissibility in statistical decision theory
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