Fourdrinier, Dominique; Robert, Christian P. - In: Statistics & Probability Letters 23 (1995) 1, pp. 35-44
In empirical Bayes analysis, the estimation of the hyperparameter is entirely left to the choice of the experimenter and the corresponding empirical Bayes estimator thus fails to achieve a global coherence. In this paper, we propose a more directed approach based on the use of a formal Bayes...