On Stein's unbiased risk estimate for reduced rank estimators
Research output: Contribution to journal › Journal article › Research › peer-review
Stein's unbiased risk estimate (SURE) is considered for matrix valued observables with low rank means. It is shown that SURE is applicable to a class of spectral function estimators including the reduced rank estimator.
Original language | English |
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Journal | Statistics and Probability Letters |
Volume | 135 |
Pages (from-to) | 76-82 |
Number of pages | 7 |
ISSN | 0167-7152 |
DOIs | |
Publication status | Published - 1 Apr 2018 |
- Degrees of freedom, Reduced-rank regression, Singular value thresholding, Stein's lemma, SURE
Research areas
ID: 188314227