Empirical Bayes Gibbs sampling

The wide applicability of Gibbs sampling has increased the use of more complex and multi-level hierarchical models. To use these models entails dealing with hyperparameters in the deeper levels of a hierarchy. There are three typical methods for dealing with these hyperparameters: specify them, estimate them, or use a 'flat' prior. Each of these strategies has its own associated problems. In this paper, using an empirical Bayes approach, we show how the hyperparameters can be estimated in a way that is both computationally feasible and statistically valid.