An Empirical Bayes Method for Chi-Squared Data

DOI10.1080/01621459.2020.1777137MaRDI QIDQ5881088zbMATH OpenOpenAlexFDO

Authors Lilun Du, Inchi Hu

Publication date 9 March 2023

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.00776

zbMATH Keywords

false discovery ratehigh-dimensional data analysislarge-scale inferencepost-selection inferenceselection biasTweedie's formula

Mathematics Subject Classification ID

Bayesian inference (62F15)

Abstract: In a thought-provoking paper, Efron (2011) investigated the merit and limitation of an empirical Bayes method to correct selection bias based on Tweedie's formula first reported by cite{Robbins:1956}. The exceptional virtue of Tweedie's formula for the normal distribution lies in its representation of selection bias as a simple function of the derivative of log marginal likelihood. Since the marginal likelihood and its derivative can be estimated from the data directly without invoking prior information, bias correction can be carried out conveniently. We propose a Bayesian hierarchical model for chi-squared data such that the resulting Tweedie's formula has the same virtue as that of the normal distribution. Because the family of noncentral chi-squared distributions, the common alternative distributions for chi-squared tests, does not constitute an exponential family, our results cannot be obtained by extending existing results. Furthermore, the corresponding Tweedie's formula manifests new phenomena quite different from those of the normal distribution and suggests new ways of analyzing chi-squared data.

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Cited in

(2)

• An Empirical Bayes Approach to Shrinkage Estimation on the Manifold of Symmetric Positive-Definite Matrices
• Empirical partially Bayes multiple testing and compound ^2 decisions

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