Simultaneous prediction for independent Poisson processes with different durations

DOI10.1016/J.JMVA.2015.06.008MaRDI QIDQ746866zbMATH OpenOpenAlexFDO

Authors Fumiyasu Komaki

Publication date 21 October 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.8080

zbMATH Keywords

harmonic timeJeffreys priorKullback-Leibler divergencePoisson processespredictive densitypredictive metricshrinkage priorsimultaneous prediction

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20)

Abstract: Simultaneous predictive densities for independent Poisson observables are investigated. The observed data and the target variables to be predicted are independently distributed according to different Poisson distributions parametrized by the same parameter. The performance of predictive densities is evaluated by the Kullback-Leibler divergence. A class of prior distributions depending on the objective of prediction is introduced. A Bayesian predictive density based on a prior in this class dominates the Bayesian predictive density based on the Jeffreys prior.

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Cites work

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• PREDICTIVE DENSITY ESTIMATION FOR MULTIPLE REGRESSION
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(17)

• Simultaneous prediction of independent Poisson observables
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• Proper Bayes minimax estimation of parameters of Poisson distributions in the presence of unbalanced sample sizes
• Minimax predictive density for sparse count data
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• Bayesian predictive density estimation with parametric constraints for the exponential distribution with unknown location
• Bayesian shrinkage approaches to unbalanced problems of estimation and prediction on the basis of negative multinomial samples
• Bayesian shrinkage estimation of negative multinomial parameter vectors
• Density prediction and the Stein phenomenon
• Simultaneous estimation of parameters of Poisson distributions with unbalanced sample sizes
• A class of proper priors for Bayesian simultaneous prediction of independent Poisson observ\-a\-bles
• Bayesian predictive distribution for a Poisson model with a parametric restriction
• scientific article; zbMATH DE number 7750677 (Why is no real title available?)
• Bayesian estimator of multiple Poisson means assuming two different priors
• Bayesian prediction and estimation based on a shrinkage prior for a Poisson regression model
• Bayesian shrinkage estimation for stratified count data
• Empirical Bayes prediction for a compound Poisson-multinomial process

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