Learning from a lot: Empirical Bayes in high-dimensional prediction settings (1709.04192v2)

Abstract: Empirical Bayes is a versatile approach to learn from a lot' in two ways: first, from a large number of variables and second, from a potentially large amount of prior information, e.g. stored in public repositories. We review applications of a variety of empirical Bayes methods to several well-known model-based prediction methods including penalized regression, linear discriminant analysis, and Bayesian models with sparse or dense priors. We discussformal' empirical Bayes methods which maximize the marginal likelihood, but also more informal approaches based on other data summaries. We contrast empirical Bayes to cross-validation and full Bayes, and discuss hybrid approaches. To study the relation between the quality of an empirical Bayes estimator and $p$, the number of variables, we consider a simple empirical Bayes estimator in a linear model setting. We argue that empirical Bayes is particularly useful when the prior contains multiple parameters which model a priori information on variables, termed `co-data'. In particular, we present two novel examples that allow for co-data. First, a Bayesian spike-and-slab setting that facilitates inclusion of multiple co-data sources and types; second, a hybrid empirical Bayes-full Bayes ridge regression approach for estimation of the posterior predictive interval.