Unbiased risk estimation and scoring rules

Details Unbiased risk estimation and scoring rules Unbiased risk estimation and scoring rules

2011-05-11

arxiv.org/abs/1105.2165v1

Mathematics

Statistics Theory

This is the author's version of a work that was accepted for publication in Comptes rendus Mathematique

Scientific paper

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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