Proper gamma approximation to a Poisson Jeffreys prior

ID: proper-gamma-approximation-to-a-poisson-jeffreys-prior

A Poisson distribution with mean and positive known exposure has Fisher information , so its Jeffreys prior kernel is . The proper shape-rate gamma distribution has kernel , approximating the improper kernel where is small. Its posterior is , converging to . There is no normalized Jeffreys prior to which the proper priors converge weakly; this is kernel approximation and posterior convergence.

New to topics? Read the docs here!