Calibration and Empirical Bayes Variable Selection

Calibration and Empirical Bayes Variable Selection (1997)

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by Edward I. George , I. George , Dean P. Foster

Venue:	Biometrika
Citations:	80 - 17 self

BibTeX

@ARTICLE{George97calibrationand,
    author = {Edward I. George and I. George and Dean P. Foster},
    title = {Calibration and Empirical Bayes Variable Selection},
    journal = {Biometrika},
    year = {1997},
    volume = {87},
    pages = {731--747}
}

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Abstract

this paper, is that with F =2logp. This choice was proposed by Foster &G eorge (1994) where it was called the Risk Inflation Criterion (RIC) because it asymptotically minimises the maximum predictive risk inflation due to selection when X is orthogonal. This choice and its minimax property were also discovered independently by Donoho & Johnstone (1994) in the wavelet regression context, where they refer to it as the universal hard thresholding rule

Citations

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