Cluster-Seeking James-Stein Estimators
| Autor: | Srinath, K. Pavan, Venkataramanan, Ramji |
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| Rok vydání: | 2016 |
| Předmět: | |
| Zdroj: | IEEE Transactions on Information Theory, vol. 64, no. 2, pp. 853-874, February 2018 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1109/TIT.2017.2783543 |
| Popis: | This paper considers the problem of estimating a high-dimensional vector of parameters $\boldsymbol{\theta} \in \mathbb{R}^n$ from a noisy observation. The noise vector is i.i.d. Gaussian with known variance. For a squared-error loss function, the James-Stein (JS) estimator is known to dominate the simple maximum-likelihood (ML) estimator when the dimension $n$ exceeds two. The JS-estimator shrinks the observed vector towards the origin, and the risk reduction over the ML-estimator is greatest for $\boldsymbol{\theta}$ that lie close to the origin. JS-estimators can be generalized to shrink the data towards any target subspace. Such estimators also dominate the ML-estimator, but the risk reduction is significant only when $\boldsymbol{\theta}$ lies close to the subspace. This leads to the question: in the absence of prior information about $\boldsymbol{\theta}$, how do we design estimators that give significant risk reduction over the ML-estimator for a wide range of $\boldsymbol{\theta}$? In this paper, we propose shrinkage estimators that attempt to infer the structure of $\boldsymbol{\theta}$ from the observed data in order to construct a good attracting subspace. In particular, the components of the observed vector are separated into clusters, and the elements in each cluster shrunk towards a common attractor. The number of clusters and the attractor for each cluster are determined from the observed vector. We provide concentration results for the squared-error loss and convergence results for the risk of the proposed estimators. The results show that the estimators give significant risk reduction over the ML-estimator for a wide range of $\boldsymbol{\theta}$, particularly for large $n$. Simulation results are provided to support the theoretical claims. Comment: Appeared in IEEE Transactions on Information Theory |
| Databáze: | arXiv |
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