Questions tagged [empirical-bayes]

Procedures for statistical inference in which the prior distribution is estimated from the data.

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Cross-validation vs empirical Bayes for estimating hyperparameters

Given a hierarchical model $p(x|\phi,\theta)$, I want a two stage process to fit the model. First, fix a handful of hyperparameters $\theta$, and then do Bayesian inference on the rest of the ...
12
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1answer
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hierarchical Bayesian models vs. empirical Bayes

Would you consider the HBM vs EB to be two alternatives in which the hyperparameters are "in the game" of being sampled/estimated/etc.? There is clearly a connection between these two. Would you ...
23
votes
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How is empirical Bayes valid?

So I just finished reading a great book Introduction to Empirical Bayes. I thought that the book was great, but building priors from the data felt wrong. I was trained that you come up with an ...
12
votes
1answer
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Is there a connection between empirical Bayes and random effects?

I recently happened to read about empirical Bayes (Casella, 1985, An introduction to empirical Bayes data analysis) and it looked a lot like random effects model; in that both have estimates shrunken ...