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Q88Section III (Statistics)88 of 145

Gamma(2,2)(2,2) prior plus Poisson data gives a Gamma(6,5)(6,5) posterior

Suppose X1,…,XnX_1,\dots,X_n are independent observations from a Poisson distribution with pmf f(x∣λ)=e−λλx/x!f(x\mid\lambda)=e^{-\lambda}\lambda^x/x!, x=0,1,2,…x=0,1,2,\dots, λ>0\lambda>0 unknown. Suppose the prior distribution of λ\lambda is g(λ)∝λe−2λg(\lambda)\propto\lambda e^{-2\lambda}, λ>0\lambda>0. Let n=3n=3 and the data (X1,X2,X3)=(1,1,2)(X_1,X_2,X_3)=(1,1,2). Then, suppose we estimate λ\lambda under squared error loss L(λ,a)=(λ−a)2L(\lambda,a)=(\lambda-a)^2. Then, the Bayes estimator based on the given data is:

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