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Computer Age Statistical Inference by Trevor Hastie, Bradley Efron

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21 Empirical Bayes Estimation Strategies

Classic statistical inference was focused on the analysis of individual cases: a single estimate, a single hypothesis test. The interpretation of direct evidence bearing on the case of interest—the number of successes and failures of a new drug in a clinical trial as a familiar example—dominated statistical practice.

The story of modern statistics very much involves indirect evidence, “learning from the experience of others” in the language of Sections 7.4 and 15.3, carried out in both frequentist and Bayesian settings. The computer-intensive prediction algorithms described in Chapters 1619 use regression theory, the frequentist’s favored technique, to mine indirect evidence on a massive scale. False-discovery ...

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