Jan Christian Refsgaard

May 6, 2023 | lesswrong.com | Eric Neyman |Charlie Steiner |Jan Christian Refsgaard |Mary Chernyshenko

I think this is a pedagogical Version of Andrew Gelmans shrinkage TriologyThe most important paper also has a blog post, The very short version is if you z score the published effects, then then you can derive a prior for the 20.000+ effects from the Cochrane database. A Cauchy distribution fits very well. The Cauchy distribution has very fat tails, so you should regress small effects heavily towards the null and regress very large effects very little.