Optimal selection of reduced rank estimators of high-dimensional matrices

DOI10.1214/11-AOS876zbMath1216.62086arXiv1004.2995MaRDI QIDQ548562

Marten H. Wegkamp, Yiyuan She, Florentina Bunea

Publication date: 29 June 2011

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

Full work available at URL: https://arxiv.org/abs/1004.2995

zbMATH Keywords

dimension reduction adaptive estimation oracle inequalities nuclear norm low rank matrix approximation rank selection multivariate response regression

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

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Uses Software

SDPT3

Cites Work