Construct · 1 fields · 1 citations

Stein's unbiased risk estimate: a standalone construct

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Mathematical statistics

unbiased estimate of the mean squared error of an estimator of a normal mean, used to tune shrinkage and smoothing parameters from the data.

In mathematical statistics, Stein's unbiased risk estimate refers to unbiased estimate of the mean squared error of an estimator of a normal mean, used to tune shrinkage and smoothing parameters from the data. This meaning comes from Stein (1981) in The Annals of Statistics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

error4 fields · 8 citationsjingle · one word, four constructs estimator2 fields · 2 citationsjingle · one word, two constructs mean3 fields · 6 citationsjingle · one word, three constructs

References

Stein, C. M. (1981). Estimation of the Mean of a Multivariate Normal Distribution. The Annals of Statistics, 9(6), 1135-1151. https://doi.org/10.1214/aos/1176345632

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