This is a contribution to the discussion of the enlightening paper by Professor Efron. We focus on empirical Bayes interval estimation. We discuss the oracle interval estimation rules, the empirical Bayes estimation of the oracle rule and the computation. Some numerical results are reported.
"Comment: Empirical Bayes Interval Estimation." Statist. Sci. 34 (2) 219 - 223, May 2019. https://doi.org/10.1214/19-STS708