Two modeling strategies for empirical Bayes estimation

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

Authors Bradley Efron

Publication date 17 March 2016

Published in Statistical Science (Search for Journal in Brave)

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

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)

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.

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