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

The Unofficial Google Data Science Blog

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 $f_theta$).

KDD 40