Bayes and empirical Bayes: do they merge?
贝叶斯与经验贝叶斯：后验分布会趋同吗？
Bayesian inference is attractive due to its internal coherence and for often having good frequentist properties. However, eliciting an honest prior may be difficult, and common practice is to take an empirical Bayes approach using an estimate of the prior hyperparameters. Although not rigorous, the underlying idea is that, for a sufficiently large sample size, empirical Bayes methods should lead to similar inferential answers as a proper Bayesian inference. However, precise…