Asymptotically optimal nonparametric empirical Bayes via predictive recursion

DOI10.1080/03610926.2012.743566MaRDI QIDQ5249189zbMATH OpenOpenAlexFDO

Authors Ryan Martin

Publication date 29 April 2015

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.5235

zbMATH Keywords

batting averagecompound decision problemdensity estimationhigh-dimensionalmixture model

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Density estimation (62G07) Stochastic approximation (62L20)

Abstract: An empirical Bayes problem has an unknown prior to be estimated from data. The predictive recursion (PR) algorithm provides fast nonparametric estimation of mixing distributions and is ideally suited for empirical Bayes applications. This paper presents a general notion of empirical Bayes asymptotic optimality, and it is shown that PR-based procedures satisfy this property under certain conditions. As an application, the problem of in-season prediction of baseball batting averages is considered. There the PR-based empirical Bayes rule performs well in terms of prediction error and ability to capture the distribution of the latent features.

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