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arXiv:2207.03466v5 [stat.AP] 9 Aug 2023DATADRIVEN OPTIMAL SHRINKAGE OF SINGULAR VALUES UNDER HIGHDIMENSIONAL NOISE WITH SEPARABLE COVARIANCE STRUCTURE WITH APPLICATION PICKUP SU AND HALTING Abstract.
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Collect the data needed for the analysis.
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Determine the optimal shrinkage target based on the data.
03
Calculate the shrinkage factor using the optimal target and the provided data.
04
Apply the shrinkage factor to the data to reduce the variance and improve accuracy.

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Data-driven optimal shrinkage is a statistical technique used to improve the estimation accuracy of parameters by adjusting estimates towards a central value, reducing variability in situations with limited data.
Typically, organizations conducting data analysis or statistical modeling may be required to implement and report data-driven optimal shrinkage techniques as part of their data compliance and reporting measures.
To fill out data-driven optimal shrinkage, one must estimate initial parameters, apply the shrinkage algorithm to adjust these estimates, and report the adjusted values in the designated format required by regulatory authorities.
The purpose of data-driven optimal shrinkage is to enhance parameter estimates by reducing their variance, improving overall prediction accuracy and reliability in statistical analyses.
Information that must be reported includes the original estimates, shrunk estimates, the method of shrinkage used, and any relevant statistical measures that support the validity of the reporting.
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