Quasi-Bayes empirical Bayes: a sequential approach to the Poisson compound decision problem
准贝叶斯经验贝叶斯：泊松复合决策问题的序贯方法
SUMMARY The Poisson compound decision problem is a long-standing problem is statistics, for which empirical Bayes methods are commonly used to estimate Poisson means in static or batch settings. We consider this problem in a streaming, or online, framework. Building on a quasi-Bayesian approach based on Newton’s algorithm, we develop a sequential estimate that is easy to evaluate, computationally efficient and has constant per-observation cost as the data accrue. We…