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Minimalist G-modelling: A comment on Efron

Authors: Roger Koenker and Jiaying Gu
Date: 03 April 2019
Type: cemmap Working Paper, CWP13/19


Efron's elegant approach to g-modeling for empirical Bayes problems is contrasted with an implementation of the Kiefer-Wolfowitz nonparametric maximum likelihood estimator for mixture models for several examples. The latter approach has the advantage that it is free of tuning parameters and consequently provides a relatively simple complementary method.

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