Minimum message length inference of the Poisson and geometric models using heavy-tailed prior distributions

Minimum message length is a general Bayesian principle for model selection and parameter estimation that is based on information theory. This paper applies the minimum message length principle to a small-sample model selection problem involving Poisson and geometric data models. Since MML is a Bayesian principle, it requires prior distributions for all model parameters. We introduce three candidate prior distributions for the model parameters with both light- and heavy-tails. The performance of the MML methods is compared with objective Bayesian inference and minimum description length techniques based on the normalized maximum likelihood code. Simulations show that our MML approach with a heavy-tail prior distribution performs well in all tests.