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Outline:
When I first read the paper I felt bad about it. We had made a
stab at hierarchical modeling of supermarket scanner data and my
interest there was mostly in trying to get approved estimators. I
spent some time working on theoretical properties of shrinkage
estimators and I really wasn't sure how practical or feasible this
stuff would be.
What Alan has really done is gone much further and shown just what the
potential of hierarchical modeling would be, or illustrate it in this
context. What Alan is doing is using a much more elaborate model than
we used. I will go through that--it takes time to absorb. It takes
advantage of the fully Bayesian formulation to answer real questions
of interest. What's nice if you're Bayesian is that you build a
comprehensive stochastic model for everything and now you can answer
very easily far more questions than you could in certain cumbersome
frequentist contexts.
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