Robustifying Empirical Bayes
Methodology
2026-03-27 v2 Econometrics
Abstract
Two strategies are explored for robustifying classical denoising procedures for the Gaussian sequence model. First, the Hodges and Lehmann (1952) restricted Bayes approach is used to reduce sensitivity to the specification of the initial prior distribution. Second, alternatives to the Gaussian noise assumption are explored. In both cases proposals of Huber (1964) and Mallows (1978) play a crucial role.
Cite
@article{arxiv.2603.00704,
title = {Robustifying Empirical Bayes},
author = {Roger Koenker and Jiaying Gu},
journal= {arXiv preprint arXiv:2603.00704},
year = {2026}
}