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Source — A negative result on shrinkage estimators in small-N replication — rrxiv
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A negative result on shrinkage estimators in small-N replication
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Source —
A negative result on shrinkage estimators in small-N replication
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Claims in this paper
10 addressable claims. Click to open inline.
c1
Claim c1
The two-stage shrinker dominates standard JS whenever the prior mean has lower MSE than…
c2
Claim c2
The closed-form risk bound is tight to within 6% across all three benchmark problems we…
c3
Claim c3
The dominance result extends to empirical-Bayes priors via a plug-in argument (Theorem…
c4
Claim c4
On the multi-task regression benchmark, the two-stage shrinker reduces test MSE by 11.3%…
c5
Claim c5
The risk bound degrades to the standard JS bound continuously as the prior strength…
c6
Claim c6
Computational cost is dominated by the prior estimation step; the shrinkage step itself…
c7
Claim c7
The same proof technique extends to L\textasciicircum{}p risk for p \textgreater{} 1 with…
h1
Claim h1
James-Stein-style shrinkage — shrinking small-$N$ replication estimates toward zero or…
c8
Claim c8
For small-$N$ replication studies with $K < 30$ groups whose shrinkage target must be…
rem:thm-31
Under the setup above, the $L^2$ risk of $\hat\theta_{2S}$ satisfies $$ R_{2S}(\theta)…