Scricciolo, Catia; Rousseau, Judith; Petrone, Sonia - Université Paris-Dauphine (Paris IX) - 2014
Bayesian inference is attractive for its coherence and good frequentist properties. However, eliciting a honest prior may be difficult and a common practice is to take an empirical Bayes approach, using some empirical estimate of the prior hyperparameters. Despite not rigorous, the underlying...