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Paper

XMSE-Aware Adaptive Empirical Bayes Estimation

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AI summary

arXiv:2606. 26975v1 Announce Type: new 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.