On Convergence Rates of Empirical Bayes Procedures

Empirical Bayes procedures are commonly used based on the supposed asymptotic equivalence with fully Bayesian procedures, which, however, has not so far received full theoretical support in terms of uncertainty quantification. In this note, we provide some results on contraction rates of empirical Bayes posterior distributions which are illustrated in nonparametric curve estimation using Dirichlet process mixture models.

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Year of publication:	2014-06
Authors:	Scricciolo, Catia ; Rousseau, Judith ; Rivoirard, Vincent ; Donnet, Sophie
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	empirical Bayes selection of prior hyperparameters \| nonparametric curve estimation \| Dirichlet process mixtures

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Extent:	application/pdf
Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Classification:	C11 - Bayesian Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010781519