Statistical Science

Comment: Empirical Bayes, Compound Decisions and Exchangeability

Eitan Greenshtein and Ya’acov Ritov

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Abstract

We present some personal reflections on empirical Bayes/ compound decision (EB/CD) theory following Efron (2019). In particular, we consider the role of exchangeability in the EB/CD theory and how it can be achieved when there are covariates. We also discuss the interpretation of EB/CD confidence interval, the theoretical efficiency of the CD procedure, and the impact of sparsity assumptions.

Article information

Source
Statist. Sci., Volume 34, Number 2 (2019), 224-228.

Dates
First available in Project Euclid: 19 July 2019

Permanent link to this document
https://projecteuclid.org/euclid.ss/1563501637

Digital Object Identifier
doi:10.1214/19-STS709

Mathematical Reviews number (MathSciNet)
MR3983324

Keywords
$f$-modeling $g$-modeling sparsity

Citation

Greenshtein, Eitan; Ritov, Ya’acov. Comment: Empirical Bayes, Compound Decisions and Exchangeability. Statist. Sci. 34 (2019), no. 2, 224--228. doi:10.1214/19-STS709. https://projecteuclid.org/euclid.ss/1563501637


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References

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