Unbiased risk estimation and scoring rules

DOI10.1016/J.CRMA.2011.04.015MaRDI QIDQ550428zbMATH OpenOpenAlexFDO

Authors Werner Ehm

Publication date 8 July 2011

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

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

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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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Cites work

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

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
• scientific article; zbMATH DE number 6866333 (Why is no real title available?)

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