Applications
A standard application of SURE is to choose a parametric form for an estimator, and then optimize the values of the parameters to minimize the risk estimate. This technique has been applied in several settings. For example, a variant of the James–Stein estimator can be derived by finding the optimal shrinkage estimator. The technique has also been used by Donoho and Johnstone to determine the optimal shrinkage factor in a wavelet denoising setting.
Read more about this topic: Stein's Unbiased Risk Estimate