Data-driven optimal shrinkage of singular values under high-dimensional noise with separable covariance structure with application

DOI10.1016/j.acha.2024.101698MaRDI QIDQ6652566

Hau-Tieng Wu, Pei-Chun Su

Publication date: 12 December 2024

Published in: Applied and Computational Harmonic Analysis (Search for Journal in Brave)

zbMATH Keywords

random matrixseparable covariancematrix denoisingspike modelhigh dimensional noise

Mathematics Subject Classification ID

Statistics (62-XX) Numerical analysis (65-XX)

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