Two modeling strategies for empirical Bayes estimation

DOI10.1214/13-STS455zbMATH Open1332.62031arXiv1409.2677WikidataQ42943345 ScholiaQ42943345MaRDI QIDQ257697FDOQ257697

Authors: Bradley Efron 

Publication date: 17 March 2016

Published in: Statistical Science (Search for Journal in Brave)

Abstract: Empirical Bayes methods use the data from parallel experiments, for instance, observations $X_{k}simmathcalN(Thet{a}_k,1)$ for $k=1,2,ldots,N$, to estimate the conditional distributions $Thet{a}_k|X_k$. There are two main estimation strategies: modeling on the $heta$ space, called "$g$-modeling" here, and modeling on the $x$ space, called "$f$-modeling." The two approaches are described and compared. A series of computational formulas are developed to assess their frequentist accuracy. Several examples, both contrived and genuine, show the strengths and limitations of the two strategies.

Full work available at URL: https://arxiv.org/abs/1409.2677

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zbMATH Keywords

\(f\)-modeling\(g\)-modelingBayes rule in terms of \(f\)prior exponential families

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12)

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