On Stein's unbiased risk estimate for reduced rank estimators

Research output: Contribution to journalJournal articleResearchpeer-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 languageEnglish
JournalStatistics and Probability Letters
Pages (from-to)76-82
Number of pages7
Publication statusPublished - 1 Apr 2018

    Research areas

  • Degrees of freedom, Reduced-rank regression, Singular value thresholding, Stein's lemma, SURE

ID: 188314227