Shrinkage priors for single-spiked covariance models

DOI10.1016/j.spl.2021.109127zbMath1478.62203OpenAlexW3157624194MaRDI QIDQ2244463

Michiko Okudo, Fumiyasu Komaki

Publication date: 12 November 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109127

zbMATH Keywords

covariance estimationshrinkage priorspiked covariance model

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

• PCA consistency for the power spiked model in high-dimensional settings
• Asymptotic properties of the first principal component and equality tests of covariance matrices in high-dimension, low-sample-size context
• Lectures on the theory of estimation of many parameters
• Estimation of a covariance matrix using the reference prior
• On the distribution of the largest eigenvalue in principal components analysis
• Optimal estimation and rank detection for sparse spiked covariance matrices
• Rate-optimal posterior contraction for sparse PCA
• Spike and slab variable selection: frequentist and Bayesian strategies
• Optimal shrinkage of eigenvalues in the spiked covariance model
• Improved minimax predictive densities under Kullback-Leibler loss
• Shrinkage priors for Bayesian prediction
• The horseshoe estimator for sparse signals
• The Bayesian Lasso
• The Spike-and-Slab LASSO
• Dirichlet–Laplace Priors for Optimal Shrinkage
• Unnamed Item

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