On Stein's unbiased risk estimate for reduced rank estimators
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On Stein's unbiased risk estimate for reduced rank estimators. / Hansen, Niels Richard.
I: Statistics and Probability Letters, Bind 135, 01.04.2018, s. 76-82.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - On Stein's unbiased risk estimate for reduced rank estimators
AU - Hansen, Niels Richard
PY - 2018/4/1
Y1 - 2018/4/1
N2 - 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.
AB - 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.
KW - Degrees of freedom
KW - Reduced-rank regression
KW - Singular value thresholding
KW - Stein's lemma
KW - SURE
UR - http://www.scopus.com/inward/record.url?scp=85039791271&partnerID=8YFLogxK
U2 - 10.1016/j.spl.2017.11.006
DO - 10.1016/j.spl.2017.11.006
M3 - Journal article
AN - SCOPUS:85039791271
VL - 135
SP - 76
EP - 82
JO - Statistics & Probability Letters
JF - Statistics & Probability Letters
SN - 0167-7152
ER -
ID: 188314227