Deep gratitude to Prof. Ed George, who opened a door to the world of emperical bayes for me, I began to read Prof. Jim Berger’s book Statistical Decision Theory and Bayesian Analysis (1985). Here I mainly focus on Chapter 1, 3, 4, 5 of Jim’s book and also share some thoughts on Ed’s paper Minimax Multiple Shrinkage Estimation (1986).
Why Bayesian?
Different people would have different conclusions based on their prior beliefs of the plausibility of the event, Baysian analysis is to seek to utilize prior information.