Nearly minimax empirical Bayesian prediction of independent Poisson observables

Xiao Li

Statistics & Probability Letters, 2024, vol. 208, issue C

Abstract: In this study, simultaneous predictive distributions for independent Poisson observables are considered and the performance of predictive distributions is evaluated using the Kullback–Leibler (K–L) loss. This study proposes a class of empirical Bayesian predictive distributions that dominate the Bayesian predictive distribution based on the Jeffreys prior. The K–L risk of the empirical Bayesian predictive distributions is demonstrated to be less than 1.04 times the minimax lower bound.

Keywords: Predictive distribution; Kullback—Leibler loss; Empirical Bayes; Minimaxity; Multivariate Poisson (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110075

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