Shrinkage (statistics)

Shrinkage (statistics)

In statistics, shrinkage is a general technique to improve an estimator, and to regularizeill-posed inference problems. Shrinkage is implicit in Bayesian inference and penalized likelihoodinference, and explicit in James-Stein-type inference. In contrast, maximum-likelihood and least-squares estimation procedures do NOT include shrinkage effects.

ee also

* Shrinkage estimation in Estimation of covariance matrices


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