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Robustifying Empirical Bayes

Roger Koenker, Jiaying Gu

arXiv 28 Feb 2026 · Statistics — Methodology

arXiv:2603.00704 · PDF · DOI · OpenAlex · Extracted main text

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.

Citation extraction

27
references
49
in-text mentions
28
distinct cited
3
self-citations
5,452
main-text words

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Most heavily cited references

The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.

ReferenceIntensityMentionsSectionsMain text
1Mallows, CL (1978) Problem 78-4, Minimizing an Integral1.00074100%
2Huber, PJ (1964) Robust Estimation of a Location Parameter0.92844100%
3Efron, Bradley and Morris, Carl (1971) Limiting the risk of Bayes and empirical Bayes estimators Part I: the Bayes case0.81142100%
4Hodges, Joseph L and Lehmann, Erich L (1952) The use of previous experience in reaching statistical decisions0.64422100%
5Kiefer, Jack and Wolfowitz, Jacob (1956) Consistency of the maximum likelihood estimator in the presence of infinitely many incidental parameters0.64422100%
6Bickel, PJ (1983) Minimax estimation of the mean of a normal distribution subject to doing well at a point0.58531100%
7Alfio Marazzi (1985) On constrained minimization of the Bayes risk for the linear model0.58531100%
8Bickel, Peter J and Collins, John Richard (1983) Minimizing Fisher information over mixtures of distributions0.51121100%
9Casella, George and Strawderman, William E (1981) Estimating a bounded normal mean0.51121100%
10R. Koenker and I. Mizera (2014) Convex Optimization, Shape Constraints, Compound Decisions, and Empirical Bayes Rules self0.51121100%

Showing the top 10 of 28 scored citations.