Unbiased risk estimation and scoring rules

Published 11 May 2011 in math.ST and stat.TH | (1105.2165v1)

Abstract: Stein unbiased risk estimation is generalized twice, from the Gaussian shift model to nonparametric families of smooth densities, and from the quadratic risk to more general divergence type distances. The development relies on a connection with local proper scoring rules.

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Authors (1)

Werner Ehm

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