Asymptotically optimal empirical Bayes inference in a piecewise constant sequence model

12/11/2017

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by   Ryan Martin, et al.

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Inference on high-dimensional parameters in structured linear models is an important statistical problem. In this paper, for the piecewise constant Gaussian sequence model, we develop a new empirical Bayes solution that enjoys adaptive minimax posterior concentration rates and, thanks to the conjugate form of the empirical prior, relatively simple posterior computations.