Unbiased risk estimation and scoring rules
Statistics Theory
2011-05-12 v1 Statistics Theory
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.
Cite
@article{arxiv.1105.2165,
title = {Unbiased risk estimation and scoring rules},
author = {Werner Ehm},
journal= {arXiv preprint arXiv:1105.2165},
year = {2011}
}
Comments
This is the author's version of a work that was accepted for publication in Comptes rendus Mathematique