Optimal prediction in the linearly transformed spiked model

DOI10.1214/19-AOS1819zbMath1441.62158arXiv1709.03393MaRDI QIDQ2176630

Edgar Dobriban, Amit Singer, William Leeb

Publication date: 5 May 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.03393

zbMATH Keywords

matrix completion; principal component analysis; random matrix theory; missing data; shrinkage; high dimensional; spiked model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62H25: Factor analysis and principal components; correspondence analysis

62H15: Hypothesis testing in multivariate analysis

62P35: Applications of statistics to physics

62D10: Missing data

Uses Software

• SPECTRODE
• OptShrink