Shrinkage to smooth non-convex cone :Principal component analysis as stein estimation

DOI10.1080/03610929908832318MaRDI QIDQ4240718zbMATH OpenOpenAlexFDO

Authors Akimichi Takemura, Satoshi Kuriki

Publication date 7 July 1999

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929908832318

zbMATH Keywords

principal component analysissingular value decompositionsecond fundamental formmatrix meanreduced rankWeyl's tube formula

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07) Eigenvalues, singular values, and eigenvectors (15A18)

Recommendations

• Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
• A geometrical explanation of Stein shrinkage
• Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
• A note on Stein-type shrinkage estimator in partial linear models
• Stein's phenomenon in estimation of means restricted to a polyhedral convex cone
• Shrinkage estimation for convex polyhedral cones
• scientific article; zbMATH DE number 1180495
• A unified and generalized set of shrinkage bounds on minimax Stein estimates
• Shrinkage estimation towards a closed convex set with a smooth boundary

Cites work

• Empirical Bayes minimax estimators of matrix normal means
• Empirical Bayes on vector observations: An extension of Stein's method
• Minimax estimators in the MANOVA model for arbitrary quadratic loss and unknown covariance matrix
• Normal Multivariate Analysis and the Orthogonal Group
• On estimation of a matrix of normal means with unknown covariance matrix
• On estimation of matrix of normal mean
• On the Volume of Tubes

Cited in

(5)

• APPLIED REGRESSION ANALYSIS BIBLIOGRAPHY UPDATE 2000–2001
• Improved loss estimation for a normal mean matrix
• A geometrical explanation of Stein shrinkage
• Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix
• On the degrees of freedom in shrinkage estimation

This page was built for publication: Shrinkage to smooth non-convex cone :Principal component analysis as stein estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4240718)