Abstract
SummaryEmpirical Bayes techniques for normal theory shrinkage estimation are extended to generalized linear models in a manner retaining the original spirit of shrinkage estimation, which is to reduce risk. The investigation identifies two classes of simple, all-purpose prior distributions, which supplement such non-informative priors as Jeffreys's prior with mechanisms for risk reduction. One new class of priors is motivated as optimizers of a core component of asymptotic risk. The methodology is evaluated in a numerical exploration and application to an existing data set.
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