Modern statistics provides an ever-expanding toolkit for estimating unknown parameters. Consequently, applied statisticians frequently face a difficult decision: retain a parameter estimate from a familiar method or replace it with an estimate from a newer or more complex one. While it is traditional to compare estimates using risk, such comparisons are rarely conclusive in realistic settings. In response, we propose the "c-value" as a measure of confidence that a new estimate achieves smaller loss than an old estimate on a given dataset. We show that it is unlikely that a large c-value coincides with a larger loss for the new estimate. Therefore, just as a small p-value supports rejecting a null hypothesis, a large c-value supports using a new estimate in place of the old. For a wide class of problems and estimates, we show how to compute a c-value by first constructing a data-dependent high-probability lower bound on the difference in loss. The c-value is frequentist in nature, but we show that it can provide validation of shrinkage estimates derived from Bayesian models in real data applications involving hierarchical models and Gaussian processes.
翻译:现代统计为估计未知参数提供了一个不断扩大的工具包。 因此,应用统计人员经常面临一个困难的决定:保留一种熟悉方法的参数估计,或用一种较新或较复杂的方法的估计数取而代之。虽然传统上比较使用风险的估计数,但这种比较在现实环境中很少是结论性的。作为回应,我们建议“c-value”作为一种信任度的衡量标准,即新估计数的损失小于某一数据集的旧估计数。我们表明,大型的c-value不大可能与新估计数的较大损失相吻合。因此,正如一个小的 p-value 支持拒绝一个无效假设一样,一个大型的c-value 支持使用新的估计数取代旧的估计数。对于一系列广泛的问题和估计数,我们展示了如何计算c-value的方法,首先构建一种依赖数据的高概率比损失差异低的数值。 c-value在性质上比较常见,但我们表明,它能够验证Bayesian模型在涉及等级模型和Gossian过程的实际数据应用中得出的缩估计数。