La méthode dʼestimation du risque Steinien est doublement généralisée, dʼune part du modèle de translation Gaussien à des familles non paramétriques et dʼautre part du risque quadratique à des distances du type divergence plus générales. Cette extension repose sur une relation avec des règles dʼévaluation locales propres.
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.
@article{CRMATH_2011__349_11-12_699_0, author = {Werner Ehm}, title = {Unbiased risk estimation and scoring rules}, journal = {Comptes Rendus. Math\'ematique}, pages = {699--702}, publisher = {Elsevier}, volume = {349}, number = {11-12}, year = {2011}, doi = {10.1016/j.crma.2011.04.015}, language = {en}, }
Werner Ehm. Unbiased risk estimation and scoring rules. Comptes Rendus. Mathématique, Volume 349 (2011) no. 11-12, pp. 699-702. doi : 10.1016/j.crma.2011.04.015. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2011.04.015/
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