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Using Empirical Bayes to approximate posteriors for large "black box" estimators

The Unofficial Google Data Science Blog

Limitations Second order calibration, like ordinary calibration, is intended to be easy and useful, not comprehensive or optimal, and it shares some of ordinary calibration’s limitations. 4] Bradley Efron, "Large-Scale Inference: Empirical Bayes Methods for Estimation, Testing, and Prediction" , Cambridge University Press, 2013.

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