Student Probability and Mathematical Physics Seminar

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A Primer on Empirical Bayes and Heteroskedastic Mean Estimation

Speaker: Jacob Shkrob, CIMS

Location: Warren Weaver Hall 201

Date: Tuesday, March 3, 2026, 12:30 p.m.

Synopsis:

We introduce the framework of Empirical Bayes (EB) and compound decision theory, providing a self-contained overview and highlighting several recent applications in statistical inference. As an illustration, we discuss how EB methods apply to the problem of one-dimensional heteroskedastic mean estimation, a fundamental test problem in robust statistics. This is joint work with Yanjun Han and Abhishek Shetty.