Empirical Bayes methods in classical and Bayesian inference

Sonia Petrone (), Stefano Rizzelli, Judith Rousseau and Catia Scricciolo

METRON, 2014, vol. 72, issue 2, 215 pages

Abstract: Empirical Bayes methods are often thought of as a bridge between classical and Bayesian inference. In fact, in the literature the term empirical Bayes is used in quite diverse contexts and with different motivations. In this article, we provide a brief overview of empirical Bayes methods highlighting their scopes and meanings in different problems. We focus on recent results about merging of Bayes and empirical Bayes posterior distributions that regard popular, but otherwise debatable, empirical Bayes procedures as computationally convenient approximations of Bayesian solutions. Copyright Sapienza Università di Roma 2014

Keywords: Bayesian weak merging; Compound experiments; Frequentist strong merging; Hyper-parameter oracle value; Latent distribution; Maximum marginal likelihood estimation; Shrinkage estimation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s40300-014-0044-1

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