Calibration and Empirical Bayes Variable Selection (1997)
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}
}
Years of Citing Articles
OpenURL
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







