An adaptive singular value shrinkage for estimation problem of low-rank matrix mean with unknown covariance matrix

DOI10.1007/s42081-023-00223-0MaRDI QIDQ6578504

Yoshihiko Konno

Publication date: 25 July 2024

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

zbMATH Keywords

soft-thresholdingintegration-by-parts formulamatrix normal models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Adaptive shrinkage of singular values
• On Stein's unbiased risk estimate for reduced rank estimators
• A unified approach to estimating a normal mean matrix in high and low dimensions
• Unbiased Risk Estimates for Singular Value Thresholding and Spectral Estimators
• On the degrees of freedom of reduced-rank estimators in multivariate regression
• Model Averaging and Dimension Selection for the Singular Value Decomposition
• \textit{ScreeNOT}: exact MSE-optimal singular value thresholding in correlated noise

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