Optimal shrinkage of eigenvalues in the spiked covariance model (Q2413608): Difference between revisions
From MaRDI portal
Changed an Item |
Changed an Item |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 1311.0851 / rank | |||
Normal rank | |||
Latest revision as of 06:43, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal shrinkage of eigenvalues in the spiked covariance model |
scientific article |
Statements
Optimal shrinkage of eigenvalues in the spiked covariance model (English)
0 references
14 September 2018
0 references
covariance estimation
0 references
optimal shrinkage
0 references
Stein loss
0 references
entropy loss
0 references
divergence loss
0 references
Fréchet distance
0 references
Bhattacharya/Matusita affinity
0 references
condition number loss
0 references
high-dimensional asymptotics
0 references
spiked covariance
0 references
