Empirical Bayes oracle uncertainty quantification for regression

DOI10.1214/19-AOS1845zbMath1461.62120MaRDI QIDQ1996760

Eduard Belitser, Subhashis Ghosal

Publication date: 26 February 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1607677229

zbMATH Keywords

empirical Bayes; coverage; oracle rate; credible ball; excessive bias restriction

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62J05: Linear regression; mixed models

62G15: Nonparametric tolerance and confidence regions

62C12: Empirical decision procedures; empirical Bayes procedures

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