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You can, in fact, do that. It's called (aptly enough) the empirical Bayes method. [1] [1] https://en.wikipedia.org/wiki/Empirical_Bayes_method https://en.wikip
by panda-giddiness 2y ago
You can, in fact, do that. It's called (aptly enough) the empirical Bayes method. [1]
[1] https://en.wikipedia.org/wiki/Empirical_Bayes_method https://en.wikipedia.org/wiki/Empirical_Bayes_method
- datastoat 2y agoEmpirical Bayes is exactly what I was getting at. It's a pragmatic modelling choice, but it loses the theoretical guarantees about uncertainty quantification that pure Bayesianism gives us. (Though if you have a reference for why empirical Bayes does give theoretical guarantees, I'll be happy to change my mind!)