Asymptotically optimal nonparametric empirical Bayes via predictive recursion

DOI10.1080/03610926.2012.743566zbMATH Open1311.62012arXiv1210.5235OpenAlexW1992675187MaRDI QIDQ5249189FDOQ5249189

Authors: Ryan Martin 

Publication date: 29 April 2015

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

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.

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

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zbMATH Keywords

density estimationmixture modelhigh-dimensionalcompound decision problembatting average

Mathematics Subject Classification ID

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

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