On Hyper-Parameter Estimation In Empirical Bayes: A Revisit of The MacKay Algorithm
نویسندگان
چکیده
An iterative procedure introduced in MacKay’s evidence framework is often used for estimating the hyper-parameter in empirical Bayes. Despite its effectiveness, the procedure has stayed primarily as a heuristic to date. This paper formally investigates the mathematical nature of this procedure and justifies it as a well-principled algorithm framework. This framework, which we call the MacKay algorithm, is shown to be closely related to the EM algorithm under certain Gaussian assumption.
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