On the relation between the shrinkage effect and a shrinkage method (Q1966029)
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scientific article; zbMATH DE number 1409733
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| English | On the relation between the shrinkage effect and a shrinkage method |
scientific article; zbMATH DE number 1409733 |
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On the relation between the shrinkage effect and a shrinkage method (English)
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2 March 2000
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It is shown that the shrinkage effect is a quite natural phenomenon. It occurs when we use one sample both to construct a predictor and to estimate its future behaviour. That is a reason to use complex techniques like cross validation to reduce the misleading optimism in estimating the future precision of a predictor. The shrinkage methods can be useful in some problems regarding the future behaviour of a predictor. Such a problem is the estimation of the future behaviour of high risk and low risk groups preventing too optimistic expectations about the real difference of their expected outcomes.
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prediction
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shrinkage effect
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shrinkage method
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0.7364586591720581
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0.7311431169509888
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