Relaxing the Gaussian assumption in shrinkage and SURE in high dimension

Adrien Saumard, Larry Goldstein, Max Fathi, Gesine D. Reinert

Publication date: 8 December 2022

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.01378

zbMATH Keywords

shrinkage estimation zero bias unbiased risk estimation Stein kernel

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (3)

Zero bias enhanced Stein couplings ⋮ Stein's density method for multivariate continuous distributions ⋮ Relaxing the Gaussian assumption in shrinkage and SURE in high dimension

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