The Poisson Compound Decision Problem Revisited

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dc.contributor.authorBrown, Lawrence D
dc.contributor.authorGreenshtein, Eitan
dc.contributor.authorRitov, Ya'acov
dc.date2023-05-17T15:00:43.000
dc.date.accessioned2023-05-23T03:37:04Z
dc.date.available2023-05-23T03:37:04Z
dc.date.issued2013-01-01
dc.date.submitted2016-07-14T14:55:40-07:00
dc.description.abstractThe compound decision problem for a vector of independent Poisson random variables with possibly different means has a half-century-old solution. However, it appears that the classical solution needs smoothing adjustment. We discuss three such adjustments. We also present another approach that first transforms the problem into the normal compound decision problem. A simulation study shows the effectiveness of the procedures in improving the performance over that of the classical procedure. A real data example is also provided. The procedures depend on a smoothness parameter that can be selected using a nonstandard cross-validation step, which is of independent interest. Finally, we mention some asymptotic results.
dc.identifier.urihttps://repository.upenn.edu/handle/20.500.14332/47897
dc.legacy.articleid1094
dc.legacy.fields10.1080/01621459.2013.771582
dc.legacy.fulltexturlhttps://repository.upenn.edu/cgi/viewcontent.cgi?article=1094&context=statistics_papers&unstamped=1
dc.rightsThis is an Accepted Manuscript of an article published by Taylor & Francis in Journal of the American Statistical Association on 06 Feb 2013, available online: http://wwww.tandfonline.com/10.1080/01621459.2013.771582.
dc.source.beginpage741
dc.source.endpage749
dc.source.issue503
dc.source.issue502
dc.source.journalStatistics Papers
dc.source.journaltitleJournal of the American Statistical Association
dc.source.statuspublished
dc.source.volume108
dc.subject.othercross-validation
dc.subject.otherempirical Bayes
dc.subject.otherNPMLE
dc.subject.otherRobbins
dc.subject.otherStatistics and Probability
dc.titleThe Poisson Compound Decision Problem Revisited
dc.typeArticle
digcom.identifierstatistics_papers/503
digcom.identifier.contextkey8835958
digcom.identifier.submissionpathstatistics_papers/503
digcom.typearticle
dspace.entity.typePublication
upenn.schoolDepartmentCenterStatistics Papers
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