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Activity Number: 355 - Advanced Bayesian Topics (Part 4)
Type: Contributed
Date/Time: Thursday, August 12, 2021 : 10:00 AM to 11:50 AM
Sponsor: Section on Bayesian Statistical Science
Abstract #318768
Title: Nonparametric Empirical Bayes Estimation with Entropic Optimal Transport
Author(s): Jordan Grey Bryan*
Companies: Department of Statistical Science, Duke University
Keywords: Empirical Bayes; Optimal transport
Abstract:

We revisit the classical empirical Bayes estimation procedure for a sample corrupted by noise. Specifically, we focus on an estimator obtained by making minimal assumptions on the prior distribution from which the uncorrupted random variables are drawn. We show that maximizing the marginal data likelihood under this unparameterized prior coincides with solving an entropic optimal transport problem. Using tools developed for other transport-based estimators, we analyze the risk properties of the Bayes-optimal estimator derived from this prior distribution and compare them to those of existing empirical Bayes estimators.


Authors who are presenting talks have a * after their name.

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