Relaxing the Gaussian assumption in shrinkage and SURE in high dimension
Shrinkage estimation is a fundamental tool of modern statistics, pioneered by Charles Stein upon his discovery of the famous paradox involving the multivariate Gaussian. A large portion of the subsequent literature only considers the efficiency of shrinkage, and that of an associated procedure known...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2022
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