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Shrinkage Estimation in High Dimensions

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If you have a question about this talk, please contact Prof. Ramji Venkataramanan .

We consider the problem of estimating a high-dimensional vector of parameters from a noisy one-time observation. The noise vector is iid Gaussian with known variance, and the performance of the estimator is measured via squared-error loss. For this problem, shrinkage estimators, which shrink the observed data towards a point or a target subspace, have evoked a lot of interest because they dominate the simple maximum-likelihood estimator (when the number of dimensions exceeds two).

In this talk, we first review the key aspects of shrinkage estimation, and then introduce shrinkage estimators that use the data to determine a “good” target subspace to shrink the data towards. We give concentration results for the squared-error loss and convergence results for the risk of the proposed estimators. We also present simulation results that validate the theory.

This is joint work with Ramji Venkataramanan.

This talk is part of the Probabilistic Systems, Information, and Inference Group Seminars series.

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Homerton College, Mary Allan Building, Bouling 8 & 9, Hills Road, Cambridge, CB2 8PH Herchel Smith Building, Seminar Room on the Ground Floor, Forvie Site, Robinson Way, Cambridge CB2 0SZ Lecture Room 3, Department of Chemical Engineering & Biotechnology, Philippa Fawcett Drive, Cambridge CB3 0AS

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