(Color online) The PE risk estimate versus the shrinkage parameter a: (a) PE risk for Laplacian noise, considering the Laplacian p.d.f. and its GMM approximation; (b) GMM-based PE risk estimate for Laplacian noise; and (c) PE risk estimate for multimodal noise; for ϵ = σ. The risk estimates are averaged over 100 Monte Carlo realizations.