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On Reverse Shrinkage Effects and Shrinkage Overshoot
Given a squared Euclidean norm penalty, we examine some less well-known properties of shrinkage estimates. In particular, we highlight that it is possible for some components of the shrinkage estimator to be placed further away from the prior mean than the original estimate. An analysis of this effe...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer US
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9977901/ https://www.ncbi.nlm.nih.gov/pubmed/35665449 http://dx.doi.org/10.1007/s11336-022-09872-8 |