Unbiased risk estimates for matrix estimation in the elliptical case

DOI10.1016/J.JMVA.2017.03.008zbMath1365.62197OpenAlexW2606780891MaRDI QIDQ2359676

Dominique Fourdrinier, Stephane Canu

Publication date: 22 June 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.03.008

zbMATH Keywords

elliptically symmetric distributionsSURE estimatorsStein-Haff type identity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Statistical decision theory (62C99)

Related Items (2)

Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions ⋮ Covariance matrix estimation under data-based loss

Cites Work

• Unnamed Item
• Noisy matrix decomposition via convex relaxation: optimal rates in high dimensions
• Estimation of the mean of a multivariate normal distribution
• Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix
• On Bayes and unbiased estimators of loss
• On improved loss estimation for shrinkage estimators
• Robust principal component analysis?
• Rank-Sparsity Incoherence for Matrix Decomposition
• Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Unbiased Risk Estimates for Singular Value Thresholding and Spectral Estimators
• Akaike's Information Criterion, C_p and Estimators of Loss for Elliptically Symmetric Distributions
• Regularized Matrix Regression

This page was built for publication: Unbiased risk estimates for matrix estimation in the elliptical case