Unbiased risk estimation and scoring rules

Werner Ehm

doi:10.1016/j.crma.2011.04.015

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Unbiased risk estimation and scoring rules

Presented by: Paul Deheuvels

Werner Ehm ¹

¹ Institute for Frontier Areas of Psychology and Mental Health, Wilhelmstr. 3a, 79098 Freiburg, Germany

Comptes Rendus. Mathématique, Volume 349 (2011) no. 11-12, pp. 699-702.

Abstract
Résumé

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.

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.

Received: 2011-04-15
Accepted: 2011-04-27
Published online: 2011-06-01

DOI: 10.1016/j.crma.2011.04.015

Author's affiliations:

Werner Ehm ¹

¹ Institute for Frontier Areas of Psychology and Mental Health, Wilhelmstr. 3a, 79098 Freiburg, Germany

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     title = {Unbiased risk estimation and scoring rules},
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     doi = {10.1016/j.crma.2011.04.015},
     language = {en},
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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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