A geometrical explanation of Stein shrinkage

DOI10.1214/11-STS382MaRDI QIDQ2634652zbMATHOpenAlexFDO

Authors Lawrence Brown, Linda H. Zhao

Publication date 18 February 2016

Published in Statistical Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.4737

zbMATH Keywords

shrinkageminimaxempirical Bayeshigh-dimensional geometryStein estimation

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

Abstract: Shrinkage estimation has become a basic tool in the analysis of high-dimensional data. Historically and conceptually a key development toward this was the discovery of the inadmissibility of the usual estimator of a multivariate normal mean. This article develops a geometrical explanation for this inadmissibility. By exploiting the spherical symmetry of the problem it is possible to effectively conceptualize the multidimensional setting in a two-dimensional framework that can be easily plotted and geometrically analyzed. We begin with the heuristic explanation for inadmissibility that was given by Stein [In Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, 1954--1955, Vol. I (1956) 197--206, Univ. California Press]. Some geometric figures are included to make this reasoning more tangible. It is also explained why Stein's argument falls short of yielding a proof of inadmissibility, even when the dimension, $p$, is much larger than $p=3$. We then extend the geometric idea to yield increasingly persuasive arguments for inadmissibility when $pgeq3$, albeit at the cost of increased geometric and computational detail.

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• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
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Cited in

(4)

• Prediction and calibration for multiple correlated variables
• Larry Brown's work on admissibility
• Shrinkage to smooth non-convex cone :Principal component analysis as stein estimation
• Geometry and applied statistics

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