Robustifying Empirical Bayes

Roger Koenker and Jiaying Gu

Papers from arXiv.org

Abstract: Two strategies are explored for robustifying classical denoising procedures for the Gaussian sequence model. First, the Hodges and Lehmann (1952) restricted Bayes approach is used to reduce sensitivity to the specification of the initial prior distribution. Second, alternatives to the Gaussian noise assumption are explored. In both cases proposals of Huber (1964) and Mallows (1978) play a crucial role.

Date: 2026-02, Revised 2026-03
New Economics Papers: this item is included in nep-ecm
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