The Tweedie Oracle and Regret Bounds in Empirical Bayes Methods

Table of Links

Abstract and 1. Introduction

2. The Compound Decision Paradigm
3. Parametric Priors
4. Nonparametric Prior Estimation
5. Empirical Bayes Methods for Discrete Data
6. Empirical Bayes Methods for Panel Data
7. Conclusion

Appendix A. Tweedie’s Formula

Appendix B. Predictive Distribution Comparison

References

Appendix A. Tweedie’s Formula

Robbins (1956) attributes Proposition 2 to Tweedie (1947). It follows by straightforward exponential family computations, as in van Houwelingen and Stijnen (1983),

Differentiating again,

implies that δ must be monotone.