The word shrinkage gets thrown around a lot in certain circles. But what is shrinkage, there does not seem to be a clear definition. If I have a time series (or any collection of observations of some process) what are the different ways I can measure some type of empirical shrinkage on the series? What are the different types of theoretical shrinkage I can talk about? How can shrinkage help in prediction? Can people provide some good insight or references?