Statistical Science

Comment: Empirical Bayes, Compound Decisions and Exchangeability

Eitan Greenshtein and Ya’acov Ritov

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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.

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

First available in Project Euclid: 19 July 2019

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$f$-modeling $g$-modeling sparsity


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.

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