Optimal shrinkage of eigenvalues in the spiked covariance model
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Publication:2413608
DOI10.1214/17-AOS1601zbMath1403.62099arXiv1311.0851WikidataQ91786599 ScholiaQ91786599MaRDI QIDQ2413608
David L. Donoho, Iain M. Johnstone, Matan Gavish
Publication date: 14 September 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.0851
entropy loss; Fréchet distance; covariance estimation; spiked covariance; Stein loss; optimal shrinkage; high-dimensional asymptotics; divergence loss; Bhattacharya/Matusita affinity; condition number loss
62H12: Estimation in multivariate analysis
15A18: Eigenvalues, singular values, and eigenvectors
15B52: Random matrices (algebraic aspects)
Uses Software