On Convergence Rates of Empirical Bayes Procedures
Catia Scricciolo, Judith Rousseau, Vincent Rivoirard, Sophie Donnet · RePEc: Research Papers in Economics · 2014
Empirical Bayes procedures are commonly used based on the supposed asymptotic equivalence with fully Bayesian procedures, which, however, has not so far received full theoretical support in terms of uncertainty quantification. In this note, we provide some results on contraction rates of empirical Bayes posterior distributions which are illustrated in nonparametric curve estimation using Dirichlet process mixture models.