Stein's unbiased risk estimate

In statistics, Stein's unbiased risk estimate (SURE) is an unbiased estimator of the mean-squared error of "a nearly arbitrary, nonlinear biased estimator." In other words, it provides an indication of the accuracy of a given estimator. This is important since the true mean-squared error of an estimator is a function of the unknown parameter to be estimated, and thus cannot be determined exactly. The technique is named after its discoverer, Charles Stein.