# Empirical Bayes/MCMC references

I'm interested in references for running empirical Bayes (EB) in conjunction with MCMC. The closest thing I've found to what I'm looking at is a surprisingly recent and somewhat obscure paper available here, and seems to suggest an improved version of the obvious thing to do (do some kind of stochastic gradient descent based on draws from the Markov chain); the main reference to EB applications given in that paper is to a Casella Biostatistics paper (2001) that suggests doing something unreasonable. There is also another surprisingly recent Annals paper that does empirical Bayes by attempting to optimize Bayes factors by running multiple chains (this seems to me like overkill, but to be fair I think this isn't the entire point of what they are doing).

Given how long EB has been studied, there's no way there isn't a completely standard solution for doing EB within MCMC that isn't much older than these papers, right? It seems to me like unless you are dealing with a toy problem you would have to deal with this, and it is an old problem, so there should be less obscure papers.

• @Ret I copied wrong URL of paper. I linked to authors we page to get around pay wall issues but linked to the wrong paper by mistake. – guy Jul 30 '13 at 16:11
• Have you found more references? – Q_Li Jan 30 '17 at 4:01

• @guy Good, thanks for letting me know. Recall that a $\epsilon$−final version of the papers from IMS is always posted on arXiv: arxiv.org/abs/1202.51600. – Ret Jul 30 '13 at 16:19