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On a Problem of Robbins
Author(s) -
Gu Jiaying,
Koenker Roger
Publication year - 2016
Publication title -
international statistical review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.051
H-Index - 54
eISSN - 1751-5823
pISSN - 0306-7734
DOI - 10.1111/insr.12098
Subject(s) - bayes' theorem , constructive , estimator , nonparametric statistics , maximum likelihood , mathematics , computer science , mathematical economics , mathematical optimization , econometrics , statistics , bayesian probability , process (computing) , operating system
Summary An early example of a compound decision problem of Robbins (1951) is employed to illustrate some features of the development of empirical Bayes methods. Our primary objective is to draw attention to the constructive role that the nonparametric maximum likelihood estimator for mixture models introduced by Kiefer & Wolfowitz (1956) can play in these developments.