On Stein's unbiased risk estimate for reduced rank estimators

DOI10.1016/j.spl.2017.11.006zbMath1393.62028OpenAlexW2774777909MaRDI QIDQ1650299

Niels Richard Hansen

Publication date: 3 July 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.11.006

zbMATH Keywords

reduced-rank regressiondegrees of freedomStein's lemmasingular value thresholdingSURE

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (3)

Computing the degrees of freedom of rank-regularized estimators and cousins ⋮ Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution ⋮ Improved loss estimation for a normal mean matrix

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Degrees of freedom for piecewise Lipschitz estimators
• Degrees of freedom and model search
• Matrices
• Unbiased Risk Estimates for Singular Value Thresholding and Spectral Estimators
• On the degrees of freedom of reduced-rank estimators in multivariate regression

This page was built for publication: On Stein's unbiased risk estimate for reduced rank estimators