question about shinkage
Hi dear all,
I have a question about shinkage. I read an article about shinkage (Radojka
M. Savic and Mats O. Karlsson Importance of Shrinkage in Empirical Bayes
Estimates for Diagnostics: Problems and Solutions 2009) and try to use
shinkage to diagnose my model. An ETA-shinkage is negative in my result.
According to the article, negative shinkage may occur in the situation where
a parameter variance is fixed to a lower value than the true value or in
rich data from a small number of subjects. I wonder that if the parameter
variance is fixed, shinkage is 100% in my result. And if it is the data
problem, why is the shinkage of this kind of data negative? Besides, I
wonder that whether the negative shinkage indicate the model
misspecification? How important is shinkage to diagnose a model? Is it more
used to evaluate the relationship between the covariate and parameters or to
choose a model?
Thanks!
Li Mengyao