This repository contains the code and data for the paper "Finite Sample Inference for Empirical Bayesian Methods" by Hien Duy Nguyen and Mayetri Gupta.
https://hal.archives-ouvertes.fr/hal-03363121/
In this paper, we propose a general and universal method for constructing confidence sets and hypothesis tests in the empirical Bayesian (EB) framework. Our approach is based on holdout likelihood ratios and utilizes the hierarchical structure of the specified Bayesian model. We demonstrate the effectiveness of our method through a range of numerical studies and real data applications.
For questions or concerns, please contact Hien Duy Nguyen at h.nguyen@uq.edu.au or Mayetri Gupta at mayetri.gupta@glasgow.ac.uk.