Minimalist G-modelling: A comment on Efron

Roger Koenker () and Jiaying Gu ()
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Roger Koenker: Institute for Fiscal Studies and UCL
Jiaying Gu: Institute for Fiscal Studies and University of Toronto

No CWP13/19, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: Efron's elegant approach to g-modeling for empirical Bayes problems is contrasted with an implementation of the Kiefer-Wolfowitz nonparametric maximum likelihood estimator for mixture models for several examples. The latter approach has the advantage that it is free of tuning parameters and consequently provides a relatively simple complementary method.

Date: 2019-04-03
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