Empirical Bayes
Overview
Empirical Bayes uses a population of related observations to estimate prior distributions or hyperparameters, then applies Bayesian inference to individual cases. Common approaches include hierarchical models, marginal-likelihood and nonparametric prior estimation, shrinkage estimators, and variational or simulation-based methods for neural and implicit-likelihood models. These methods support prediction and uncertainty estimation in settings such as federated learning, causal representation learning, privacy, calibration, and scientific modeling. A central challenge is balancing useful adaptation and shrinkage against overfitting or misspecification, while checking calibration and robustness beyond predictive accuracy.
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