Compound Decisions and Empirical Bayes

Abstract

Summary The analysis of a sequence of decision problems of identical structure is considered, and the similarities and differences between the compound decision and empirical Bayes approaches explored. The paper includes a brief review of the literature and examines the criteria which have been used in comparing compound decision and empirical Bayes procedures with conventional methods. The performance of one of these procedures is examined in detail, and the previously accepted view that the compound decision approach is appropriate for situations outside those covered by empirical Bayes is questioned.