Unbiased risk estimation and scoring rules

DOI10.1016/J.CRMA.2011.04.015zbMATH Open1216.62087arXiv1105.2165OpenAlexW2963084080MaRDI QIDQ550428FDOQ550428

Authors: Werner Ehm 

Publication date: 8 July 2011

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1105.2165

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Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Cites Work

• Strictly Proper Scoring Rules, Prediction, and Estimation
• Estimation of the mean of a multivariate normal distribution
• Estimation of non-normalized statistical models by score matching
• Proper local scoring rules
• Local proper scoring rules of order two
• Proper Scores for Probability Forecasters
• Optimal Approximation of Signal Priors

Cited In (5)

• Local proper scoring rules of order two
• A note on proper scoring rules and risk aversion
• Quantifying and Correcting the Bias in Estimated Risk Measures
• Copula calibration
• Title not available (Why is that?)

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