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arXiv · 2310.02004

Nearly minimax empirical Bayesian prediction of independent Poisson observables

Xiao Li
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Abstract

In this study, simultaneous predictive distributions for independent Poisson observables were considered and the performance of predictive distributions was 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.

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Xiao Li. 2023-10-01. Nearly minimax empirical Bayesian prediction of independent Poisson observables. https://doi.org/10.1016/j.spl.2024.110075

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