In
statistics
Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of ...
, shrinkage is the reduction in the effects of sampling variation. In
regression analysis
In statistical modeling, regression analysis is a set of statistical processes for estimating the relationships between a dependent variable (often called the 'outcome' or 'response' variable, or a 'label' in machine learning parlance) and one ...
, a fitted relationship appears to perform less well on a new data set than on the data set used for fitting. In particular the value of the
coefficient of determination
In statistics, the coefficient of determination, denoted ''R''2 or ''r''2 and pronounced "R squared", is the proportion of the variation in the dependent variable that is predictable from the independent variable(s).
It is a statistic used i ...
'shrinks'. This idea is complementary to
overfitting
mathematical modeling, overfitting is "the production of an analysis that corresponds too closely or exactly to a particular set of data, and may therefore fail to fit to additional data or predict future observations reliably". An overfitt ...
and, separately, to the standard adjustment made in the coefficient of determination to compensate for the subjunctive effects of further sampling, like controlling for the potential of new explanatory terms improving the model by chance: that is, the adjustment formula itself provides "shrinkage." But the adjustment formula yields an artificial shrinkage.
A shrinkage estimator is an
estimator
In statistics, an estimator is a rule for calculating an estimate of a given quantity based on observed data: thus the rule (the estimator), the quantity of interest (the estimand) and its result (the estimate) are distinguished. For example, the ...
that, either explicitly or implicitly, incorporates the effects of shrinkage. In loose terms this means that a naive or raw estimate is improved by combining it with other information. The term relates to the notion that the improved estimate is made closer to the value supplied by the 'other information' than the raw estimate. In this sense, shrinkage is used to
regularize ill-posed
The mathematical term well-posed problem stems from a definition given by 20th-century French mathematician Jacques Hadamard. He believed that mathematical models of physical phenomena should have the properties that:
# a solution exists,
# the sol ...
inference
Inferences are steps in reasoning, moving from premises to logical consequences; etymologically, the word '' infer'' means to "carry forward". Inference is theoretically traditionally divided into deduction and induction, a distinction that in ...
problems.
Shrinkage is implicit in
Bayesian inference
Bayesian inference is a method of statistical inference in which Bayes' theorem is used to update the probability for a hypothesis as more evidence or information becomes available. Bayesian inference is an important technique in statistics, a ...
and penalized likelihood inference, and explicit in
James–Stein-type inference. In contrast, simple types of
maximum-likelihood
In statistics, maximum likelihood estimation (MLE) is a method of estimating the parameters of an assumed probability distribution, given some observed data. This is achieved by maximizing a likelihood function so that, under the assumed stati ...
and
least-squares estimation
The method of least squares is a standard approach in regression analysis to approximate the solution of overdetermined systems (sets of equations in which there are more equations than unknowns) by minimizing the sum of the squares of the res ...
procedures do not include shrinkage effects, although they can be used within shrinkage estimation schemes.
Description
Many standard estimators can be
improved, in terms of
mean squared error
In statistics, the mean squared error (MSE) or mean squared deviation (MSD) of an estimator (of a procedure for estimating an unobserved quantity) measures the average of the squares of the errors—that is, the average squared difference between ...
(MSE), by shrinking them towards zero (or any other fixed constant value). In other words, the improvement in the estimate from the corresponding reduction in the width of the confidence interval can outweigh the worsening of the estimate introduced by biasing the estimate towards zero (see
bias-variance tradeoff).
Assume that the expected value of the raw estimate is not zero and consider other estimators obtained by multiplying the raw estimate by a certain parameter. A value for this parameter can be specified so as to minimize the MSE of the new estimate. For this value of the parameter, the new estimate will have a smaller MSE than the raw one. Thus it has been improved. An effect here may be to convert an
unbiased
Bias is a disproportionate weight ''in favor of'' or ''against'' an idea or thing, usually in a way that is closed-minded, prejudicial, or unfair. Biases can be innate or learned. People may develop biases for or against an individual, a group, ...
raw estimate to an improved biased one.
Examples
A well-known example arises in the estimation of the population
variance
In probability theory and statistics, variance is the expectation of the squared deviation of a random variable from its population mean or sample mean. Variance is a measure of dispersion, meaning it is a measure of how far a set of numbers ...
by
sample variance
In probability theory and statistics, variance is the expectation of the squared deviation of a random variable from its population mean or sample mean. Variance is a measure of dispersion, meaning it is a measure of how far a set of numbers ...
. For a sample size of ''n'', the use of a divisor ''n'' − 1 in the usual formula (
Bessel's correction
In statistics, Bessel's correction is the use of ''n'' − 1 instead of ''n'' in the formula for the sample variance and sample standard deviation, where ''n'' is the number of observations in a sample. This method corrects the bias in t ...
) gives an unbiased estimator, while other divisors have lower MSE, at the expense of bias. The optimal choice of divisor (weighting of shrinkage) depends on the
excess kurtosis
In probability theory and statistics, kurtosis (from el, κυρτός, ''kyrtos'' or ''kurtos'', meaning "curved, arching") is a measure of the "tailedness" of the probability distribution of a real-valued random variable. Like skewness, kurtosi ...
of the population, as discussed at
mean squared error: variance, but one can always do better (in terms of MSE) than the unbiased estimator; for the normal distribution a divisor of ''n'' + 1 gives one which has the minimum mean squared error.
Methods
Types of
regression that involve shrinkage estimates include
ridge regression
Ridge regression is a method of estimating the coefficients of multiple-regression models in scenarios where the independent variables are highly correlated. It has been used in many fields including econometrics, chemistry, and engineering. Also ...
, where coefficients derived from a regular least squares regression are brought closer to zero by multiplying by a constant (the ''shrinkage factor''), and
lasso regression
In statistics and machine learning, lasso (least absolute shrinkage and selection operator; also Lasso or LASSO) is a regression analysis method that performs both variable selection and regularization in order to enhance the prediction accuracy ...
, where coefficients are brought closer to zero by adding or subtracting a constant.
The use of shrinkage estimators in the context of regression analysis, where there may be a large number of explanatory variables, has been described by Copas. Here the values of the estimated regression coefficients are shrunk towards zero with the effect of reducing the mean square error of predicted values from the model when applied to new data. A later paper by Copas applies shrinkage in a context where the problem is to predict a binary response on the basis of binary explanatory variables.
Hausser and Strimmer "develop a James-Stein-type shrinkage estimator, resulting in a procedure that is highly efficient statistically as well as computationally. Despite its simplicity, ...it outperforms eight other entropy estimation procedures across a diverse range of sampling scenarios and data-generating models, even in cases of severe undersampling. ...method is fully analytic and hence computationally inexpensive. Moreover, ...procedure simultaneously provides estimates of the entropy and of the cell frequencies. ...The proposed shrinkage estimators of entropy and mutual information, as well as all other investigated entropy estimators, have been implemented in R (R Development Core Team, 2008). A corresponding R package “entropy” was deposited in the R archive CRAN and is accessible at the URL https://cran.r-project.org/web/packages/entropy/ under the GNU General Public License."
See also
*
Additive smoothing
In statistics, additive smoothing, also called Laplace smoothing or Lidstone smoothing, is a technique used to smooth categorical data. Given a set of observation counts \textstyle from a \textstyle -dimensional multinomial distribution with ...
*
Boosting (machine learning)
In machine learning, boosting is an ensemble meta-algorithm for primarily reducing bias, and also variance in supervised learning, and a family of machine learning algorithms that convert weak learners to strong ones. Boosting is based on the que ...
**
Decision stump
A decision stump is a machine learning model consisting of a one-level decision tree. That is, it is a decision tree with one internal node (the root) which is immediately connected to the terminal nodes (its leaves). A decision stump makes a predi ...
*
Chapman estimator
*
Principal component regression
In statistics, principal component regression (PCR) is a regression analysis technique that is based on principal component analysis (PCA). More specifically, PCR is used for estimating the unknown regression coefficients in a standard linear regr ...
*
Regularization (mathematics)
In mathematics, statistics, finance, computer science, particularly in machine learning and inverse problems, regularization is a process that changes the result answer to be "simpler". It is often used to obtain results for ill-posed problems o ...
*
Shrinkage estimation in the estimation of covariance matrices
*
Stein's example
In decision theory and estimation theory, Stein's example (also known as Stein's phenomenon or Stein's paradox) is the observation that when three or more parameters are estimated simultaneously, there exist combined estimators more accurate on ave ...
*
Tikhonov regularization
Ridge regression is a method of estimating the coefficients of multiple-regression models in scenarios where the independent variables are highly correlated. It has been used in many fields including econometrics, chemistry, and engineering. Also ...
Statistical software
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References
Estimation theory
Estimator
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