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AUEB Stats Seminars Online Premiere: Confidence Intervals for Nonparametric Empirical Bayes Analysis by N. Ignatiadis (Stanford) Forumgrstats
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AUEB Stats Seminars Online Premiere: Confidence Intervals for Nonparametric Empirical Bayes Analysis by N. Ignatiadis (Stanford) Empty AUEB Stats Seminars Online Premiere: Confidence Intervals for Nonparametric Empirical Bayes Analysis by N. Ignatiadis (Stanford)

Tue 1 Nov 2022 - 0:34
AUEB STATISTICS SEMINAR SERIES 2022

AUEB Stats Seminars Online Premiere: Confidence Intervals for Nonparametric Empirical Bayes Analysis by N. Ignatiadis (Stanford) 2022_813


Nikolaos Ignatiadis
PhD Student, Statistics Department, Stanford University, USA

Confidence Intervals for Nonparametric Empirical Bayes Analysis

Online Premiere on AUEB-Stats youtube channel on
Wednesday 2/11/2022 at 19.00 (Greek time zone)

Youtube link: https://youtu.be/UV5zYX_xttM


ABSTRACT

In an empirical Bayes analysis, we use data from repeated sampling to imitate inferences made by an oracle Bayesian with extensive knowledge of the data-generating distribution. Existing results provide a comprehensive characterization of when and why empirical Bayes point estimates accurately recover oracle Bayes behavior. In this work, we construct flexible and practical nonparametric confidence intervals that provide asymptotic frequentist coverage of empirical Bayes estimands, such as the posterior mean and the local false sign rate. From a methodological perspective we build upon results on affine minimax estimation, and our coverage statements hold even when estimands are only partially identified or when empirical Bayes point estimates converge very slowly.
This is joint work with Stefan Wager.
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