Bayesian predictive distribution for a Poisson model with a parametric restriction

Yasuyuki Hamura and Tatsuya Kubokawa

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 13, 3257-3266

Abstract: Predictive probability estimation for a Poisson distribution is addressed when the parameter space is restricted. The Bayesian predictive probability against the prior on the restricted space is compared with the non-restricted Bayes predictive probability. It is shown that the former predictive probability dominates the latter under some conditions when the predictive probabilities are evaluated by the risk function relative to the Kullback-Leibler divergence. This result is proved by first showing the corresponding dominance result for estimating the restricted parameter and then translating it into the framework of predictive probability estimation.

Date: 2020
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DOI: 10.1080/03610926.2019.1586943

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