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How exactly do these kinds of compound words work?

"Okun's Law" and "Philips Curve" rather than "Okun Law" and "Philips' Curve"?

Is there any grammar book I can look for?

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There is no rule, different writers choose different styles. Without moving from my desk I can find the following examples of references to the same thing:

  1. Bayes Rule
  2. Bayes' Rule
  3. Bayes's Rule

and then the same all over again but calling it a theorem rather than a rule.

If the proper name is not in a possessive form, then sometimes the definite article is used, as in "The Bayes Rule" but even that is not standardised.

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