OK, so maybe be this isn’t interesting to anyone outside of statistics, but it is a meaningful development for statistical estimates based on high-dimensional data.
“Shrinkage” estimates are not new (and not a Seinfeld reference), but this result considerably extends their usefulness.
Are the shrinkage estimates changed by pooling data?
Hi Dan
I had forgotten about Eigen vectors. Here is a video that reviews them.
Pooling data will always change your estimates,. Whether that is good or bad depends on the purpose and how you go about doing it.
I’m on mobile today, but I will give the article a more careful read when I can.
Fun stuff, and some pretty cool applications.
Eigenvalues: You must give in to the Matrix.
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