Improving on the James-Stein Positive-Part Estimator
نویسندگان
چکیده
منابع مشابه
Empirical Bayes and the James–Stein Estimator
Charles Stein shocked the statistical world in 1955 with his proof that maximum likelihood estimation methods for Gaussian models, in common use for more than a century, were inadmissible beyond simple oneor twodimensional situations. These methods are still in use, for good reasons, but Stein-type estimators have pointed the way toward a radically different empirical Bayes approach to high-dim...
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Entropy is a fundamental quantity in statistics and machine learning. In this note, we present a novel procedure for statistical learning of entropy from high-dimensional small-sample data. Specifically, we introduce a a simple yet very powerful small-sample estimator of the Shannon entropy based on James-Stein-type shrinkage. This results in an estimator that is highly efficient statistically ...
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The new century has brought us a new class of statistics problems, much bigger than their classical counterparts, and often involving thousands of parameters and millions of data points. Happily, it has also brought some powerful new statistical methodologies. The most prominent of these is Benjamini and Hochberg’s False Discovery Rate (FDR) procedure, extensively explored in this issue of Stat...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1994
ISSN: 0090-5364
DOI: 10.1214/aos/1176325640