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Empirical Bayes methods in classical and Bayesian inference

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  • Sonia Petrone
  • Stefano Rizzelli
  • Judith Rousseau
  • Catia Scricciolo

Abstract

Empirical Bayes methods are often thought of as a bridge between classical and Bayesian inference. In fact, in the literature the term empirical Bayes is used in quite diverse contexts and with different motivations. In this article, we provide a brief overview of empirical Bayes methods highlighting their scopes and meanings in different problems. We focus on recent results about merging of Bayes and empirical Bayes posterior distributions that regard popular, but otherwise debatable, empirical Bayes procedures as computationally convenient approximations of Bayesian solutions. Copyright Sapienza Università di Roma 2014

Suggested Citation

  • Sonia Petrone & Stefano Rizzelli & Judith Rousseau & Catia Scricciolo, 2014. "Empirical Bayes methods in classical and Bayesian inference," METRON, Springer;Sapienza Università di Roma, vol. 72(2), pages 201-215, August.
    • Handle: RePEc:spr:metron:v:72:y:2014:i:2:p:201-215
    DOI: 10.1007/s40300-014-0044-1
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