Abstract
We present some personal reflections on empirical Bayes/ compound decision (EB/CD) theory following Efron (2019). In particular, we consider the role of exchangeability in the EB/CD theory and how it can be achieved when there are covariates. We also discuss the interpretation of EB/CD confidence interval, the theoretical efficiency of the CD procedure, and the impact of sparsity assumptions.
Citation
Eitan Greenshtein. Ya’acov Ritov. "Comment: Empirical Bayes, Compound Decisions and Exchangeability." Statist. Sci. 34 (2) 224 - 228, May 2019. https://doi.org/10.1214/19-STS709
