Using Empirical Bayes to approximate posteriors for large "black box" estimators
The Unofficial Google Data Science Blog
NOVEMBER 4, 2015
One way to check $f_theta$ is to gather test data and check whether the model fits the relationship between training and test data. This tests the model’s ability to distinguish what is common for each item between the two data sets (the underlying $theta$) and what is different (the draw from $f_theta$).
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