On Stein's unbiased risk estimate for reduced rank estimators

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

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.

OriginalsprogEngelsk
TidsskriftStatistics and Probability Letters
Vol/bind135
Sider (fra-til)76-82
Antal sider7
ISSN0167-7152
DOI
StatusUdgivet - 1 apr. 2018

ID: 188314227