sureshrink.mse {asus} | R Documentation |
SURE estimate of risk
Description
Stein's Unbiased Risk Estimate for the sureshrink estimator
Usage
sureshrink.mse(d, v.d, type = 1, t = 0)
Arguments
d |
an n vector of observations |
v.d |
an n vector of variances for each component of d |
type |
set type=1 if you want the thresholding parameter t to be estimated. Otherwise set type = 0 in which case you must provide t. Default is type = 1 |
t |
soft thresholding parameter. If type = 1, then t is estimated whereas if type = 0 then you must provide t. Default is t = 0 (and type = 1) |
Details
Estimates the risk of the surehsrink estimator of Donoho and Johnstone (1995).
Value
sure.est - SURE estimate of risk
t - estimated threshold (meaningless if type = 0)
References
Charles M Stein. Estimation of the mean of a multivariate normal distribution. The annals of Statistics, pages 1135-1151, 1981
David L Donoho and Iain M Johnstone. Adapting to unknown smoothness via wavelet shrinkage. Journal of the american statistical association, 90(432):1200-1224, 1995
See Also
Examples
library(asus)
set.seed(42)
d<-rnorm(10,2,1)
v.d<- rep(1,10)
mse<-sureshrink.mse(d,v.d)