arXiv AI By Minghao Chen, Jiale Zheng

XMSE-Aware Adaptive Empirical Bayes Estimation

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arXiv:2606. 26975v1 Announce Type: cross Abstract: Empirical Bayes (EB) estimators can match the first-order asymptotic risk of maximum likelihood (ML) while behaving very differently at second order: recent excess mean squared error (XMSE) analysis shows that kernel-based EB estimation may be worse than ML when the kernel is poorly aligned with the true parameter.

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XMSE-Aware Adaptive Empirical Bayes Estimation

Empirical Bayes (EB) estimators can match the first-order asymptotic risk of maximum likelihood (ML) while behaving very differently at second order: recent excess mean squared error (XMSE) analysis shows that kernel-based EB estimation may be worse than ML when the kernel is poorly aligned with the true parameter. This paper turns that diagnostic into a design principle.

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