Generalized SURE for optimal shrinkage of singular values in low-rank matrix denoising

zbMath1440.94012arXiv1605.07412MaRDI QIDQ4637067

Charles-Alban Deledalle, Jérémie Bigot, Delphine Féral

Publication date: 17 April 2018

Full work available at URL: https://arxiv.org/abs/1605.07412

zbMATH Keywords

singular value decompositionexponential familyrandom matrix theorydegrees of freedomStein's unbiased risk estimatematrix denoisingspectral estimatorlow-rank modeloptimal shrinkage ruleGaussian spiked population model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items (5)

Biwhitening Reveals the Rank of a Count Matrix ⋮ Optimal singular value shrinkage for operator norm loss: extending to non-square matrices ⋮ Selecting Regularization Parameters for Nuclear Norm--Type Minimization Problems ⋮ \(e\)PCA: high dimensional exponential family PCA ⋮ Low-rank matrix denoising for count data using unbiased Kullback-Leibler risk estimation

Uses Software

• LowRankModels
• Pyglrm
• OptShrink
• SVDMAN

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