The shrinkage tag has no wiki summary.
1
vote
0answers
28 views
Selecting a Bayes shrinkage prior
I'm looking for a way to integrate prior knowledge about a parameter in a context equivalent to Bayesian hierarchical models. I come from frequentist background and I'm uninitiated in hierarchical ...
0
votes
0answers
11 views
Initializing Variables using Shrinkage
I have a user-user model which which users can rate their friendships(r) with others and also can have activities with them(a). I am using Matrix Factorization and Gradient Descent for updating the ...
0
votes
0answers
30 views
Is there a theoretical basis for the shrinkage used in Boosted Regression Trees?
In Gradient Boosted Regression Trees, a shrinkage $\nu$ is often applied as:
$$ f_t(x) \leftarrow f_{t-1}(x) + \nu h(x)$$
where $h$ is the regression tree learned by fitting the tree to the gradient. ...
5
votes
1answer
57 views
adjust rating based on number of experiences
Suppose I am using a restaurant rating as an explanatory variable in a regression. The rating is defined as $R=\frac{G}{G+B+N+S}$, where $G$ is good, $B$ is bad, $N$ is neutral and $S$ is silent. I ...
0
votes
0answers
37 views
Is there an extension of the James-Stein estimator for cases of nondiagonal covariance matrix?
Is there an extension of the James-Stein estimator for cases of nondiagonal covariance matrix?
James-Stein estimator holds for every multivariate distribution but are there any improved versions ...
3
votes
0answers
81 views
Estimation After Selection on Non-central F Random Variables
Suppose that you observe $F_1,F_2,\ldots,F_k$ each independently. drawn from non-central F distributions with common, known, d.f. $\nu_1, \nu_2$, and with (unknown) non-centrality parameters ...
2
votes
0answers
76 views
How can I use “partial pooling” to shrink cells with a small sample size towards the mean in a contingency table?
How can I use "partial pooling" to shrink cells with a small sample size towards the mean in a contingency table? I am interested in the proportions within each cell with a positive response.
To ...
0
votes
1answer
72 views
Are there any extensions to the James-Stein estimator for cases of dependent variables?
Are there any extensions of the James-Stein estimator for case of dependent variables?
I've done numeric experiments with the James-Stein estimator on correlated normal variables (5-10 variables, ...
2
votes
2answers
171 views
Proportion Estimates - Shrink to the Mean Based on Sample Size
Set-up:
One of the fundamental elements of direct marketing is choosing which lists of prospects to select and send an offer to. There are hundreds of lists on the market to choose from and each list ...
19
votes
4answers
944 views
What problem do shrinkage methods solve?
The holiday season has given me the opportunity to curl up next to the fire with The Elements of Statistical Learning. Coming from a (frequentist) econometrics perspective, I'm having trouble grasping ...
16
votes
2answers
3k views
What is the lasso in regression analysis?
I'm looking for a non-technical definition of the lasso and what it is used for.
0
votes
1answer
51 views
Using monomvn to impute monotone missings
I am attempting to use the monomvn package to impute monotone missings. I've followed the basic example:
data(cement.miss)
out <- monomvn(cement.miss)
...
7
votes
2answers
444 views
Optimal penalty selection for lasso
Are there any analytical results or experimental papers regarding the optimal choice of the coefficient of the $\ell_1$ penalty term. By optimal, I mean a parameter that maximizes the probability of ...
8
votes
2answers
182 views
Distribution of 'unmixed' parts based on order of the mix
Suppose I have paired observations drawn i.i.d. as $X_i \sim \mathcal{N}\left(0,\sigma_x^2\right), Y_i \sim \mathcal{N}\left(0,\sigma_y^2\right),$ for $i=1,2,\ldots,n$. Let $Z_i = X_i + Y_i,$ and ...
9
votes
1answer
426 views
Random permutation test for feature selection
I am confused about permutation analysis for feature selection in a logistic regression context.
Could you provide a clear explanation of the random permutation test and how does it applies to feature ...
5
votes
2answers
926 views
James-Stein estimator: How to calculate $\sigma^2$ in shrinkage factor?
I had a question on calcuating James-Stein Shrinkage factor in the 1977 Scientific American paper by Bradley Efron and Carl Morris.
I gathered the data for the baseball players and it is given ...
