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.
|Journal||Statistics and Probability Letters|
|Number of pages||7|
|Publication status||Published - 1 Apr 2018|
- Degrees of freedom, Reduced-rank regression, Singular value thresholding, Stein's lemma, SURE