The empirical Bayes approach: estimating the prior distribution
- 1 June 1967
- journal article
- Published by Oxford University Press (OUP) in Biometrika
- Vol. 54 (1-2) , 326-328
- https://doi.org/10.1093/biomet/54.1-2.326
Abstract
There is a random variable A distributed according to a specific but unknown prior distribution G from an appropriate class GP. The random variable Λ = λ is unobrvable but another random variable X = x, distributed with known conditional distribution function F(x∣λ), is observable. We construct estimators Gn(λ) of G(λ) such that lim E[{Gn(λ) − G(λ)}2]=0 and we use Gn(λ) to estimate the posterior distribution G(λ∣x) and hence to construct consistent estimators of posterior confidence intervals.Keywords
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