An adaptive singular value shrinkage for estimation problem of low-rank matrix mean with unknown covariance matrix

DOI10.1007/S42081-023-00223-0MaRDI QIDQ6578504zbMATH OpenFDO

Authors Yoshihiko Konno

Publication date 25 July 2024

Published in Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S42081-023-00223-0

zbMATH Keywords

integration-by-parts formulamatrix normal modelssoft-thresholding

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• \textit{ScreeNOT}: exact MSE-optimal singular value thresholding in correlated noise
• A unified approach to estimating a normal mean matrix in high and low dimensions
• Adaptive shrinkage of singular values
• scientific article; zbMATH DE number 3557007 (Why is no real title available?)
• Model Averaging and Dimension Selection for the Singular Value Decomposition
• On Stein's unbiased risk estimate for reduced rank estimators
• On the degrees of freedom of reduced-rank estimators in multivariate regression
• Unbiased Risk Estimates for Singular Value Thresholding and Spectral Estimators

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