Unbiased risk estimates for matrix estimation in the elliptical case
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jmva.2017.03.008
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Dominique Fourdrinier & William Strawderman, 2003. "On Bayes and unbiased estimators of loss," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 803-816, December.
- Aurélie Boisbunon & Stéphane Canu & Dominique Fourdrinier & William Strawderman & Martin T. Wells, 2014. "Akaike's Information Criterion, C p and Estimators of Loss for Elliptically Symmetric Distributions," International Statistical Review, International Statistical Institute, vol. 82(3), pages 422-439, December.
- Hua Zhou & Lexin Li, 2014. "Regularized matrix regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 76(2), pages 463-483, March.
- Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
- Fourdrinier, Dominique & Strawderman, William E. & Wells, Martin T., 2003. "Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 24-39, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Haddouche, Anis M. & Fourdrinier, Dominique & Mezoued, Fatiha, 2021. "Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
- Fourdrinier, Dominique & Haddouche, Anis M. & Mezoued, Fatiha, 2021. "Covariance matrix estimation under data-based loss," Statistics & Probability Letters, Elsevier, vol. 177(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Xiaoshan Li & Da Xu & Hua Zhou & Lexin Li, 2018. "Tucker Tensor Regression and Neuroimaging Analysis," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 10(3), pages 520-545, December.
- Xu Gao & Weining Shen & Liwen Zhang & Jianhua Hu & Norbert J. Fortin & Ron D. Frostig & Hernando Ombao, 2021. "Regularized matrix data clustering and its application to image analysis," Biometrics, The International Biometric Society, vol. 77(3), pages 890-902, September.
- Aurélie Boisbunon & Stéphane Canu & Dominique Fourdrinier & William Strawderman & Martin T. Wells, 2014. "Akaike's Information Criterion, C p and Estimators of Loss for Elliptically Symmetric Distributions," International Statistical Review, International Statistical Institute, vol. 82(3), pages 422-439, December.
- Matsuda, Takeru & Strawderman, William E., 2019. "Improved loss estimation for a normal mean matrix," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 300-311.
- Tutz, Gerhard & Pößnecker, Wolfgang & Uhlmann, Lorenz, 2015. "Variable selection in general multinomial logit models," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 207-222.
- Xu, Yang & Zhao, Shishun & Hu, Tao & Sun, Jianguo, 2021. "Variable selection for generalized odds rate mixture cure models with interval-censored failure time data," Computational Statistics & Data Analysis, Elsevier, vol. 156(C).
- Emmanouil Androulakis & Christos Koukouvinos & Kalliopi Mylona & Filia Vonta, 2010. "A real survival analysis application via variable selection methods for Cox's proportional hazards model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(8), pages 1399-1406.
- Singh, Rakhi & Stufken, John, 2024. "Factor selection in screening experiments by aggregation over random models," Computational Statistics & Data Analysis, Elsevier, vol. 194(C).
- Koki Momoki & Takuma Yoshida, 2024. "Hypothesis testing for varying coefficient models in tail index regression," Statistical Papers, Springer, vol. 65(6), pages 3821-3852, August.
- Lili Pan & Ziyan Luo & Naihua Xiu, 2017. "Restricted Robinson Constraint Qualification and Optimality for Cardinality-Constrained Cone Programming," Journal of Optimization Theory and Applications, Springer, vol. 175(1), pages 104-118, October.
- Gerhard Tutz & Moritz Berger, 2018. "Tree-structured modelling of categorical predictors in generalized additive regression," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 12(3), pages 737-758, September.
- Chenchuan (Mark) Li & Ulrich K. Müller, 2021. "Linear regression with many controls of limited explanatory power," Quantitative Economics, Econometric Society, vol. 12(2), pages 405-442, May.
- Shuichi Kawano, 2014. "Selection of tuning parameters in bridge regression models via Bayesian information criterion," Statistical Papers, Springer, vol. 55(4), pages 1207-1223, November.
- Dominique Fourdrinier & Othmane Kortbi & William Strawderman, 2014. "Generalized Bayes minimax estimators of location vectors for spherically symmetric distributions with residual vector," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(2), pages 285-296, February.
- Hang Yu & Yuanjia Wang & Donglin Zeng, 2023. "A general framework of nonparametric feature selection in high‐dimensional data," Biometrics, The International Biometric Society, vol. 79(2), pages 951-963, June.
- Qianyun Li & Runmin Shi & Faming Liang, 2019. "Drug sensitivity prediction with high-dimensional mixture regression," PLOS ONE, Public Library of Science, vol. 14(2), pages 1-18, February.
- Shuang Zhang & Xingdong Feng, 2022. "Distributed identification of heterogeneous treatment effects," Computational Statistics, Springer, vol. 37(1), pages 57-89, March.
- Jun Zhu & Hsin‐Cheng Huang & Perla E. Reyes, 2010. "On selection of spatial linear models for lattice data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 389-402, June.
- Zak-Szatkowska, Malgorzata & Bogdan, Malgorzata, 2011. "Modified versions of the Bayesian Information Criterion for sparse Generalized Linear Models," Computational Statistics & Data Analysis, Elsevier, vol. 55(11), pages 2908-2924, November.
- Lam, Clifford, 2008. "Estimation of large precision matrices through block penalization," LSE Research Online Documents on Economics 31543, London School of Economics and Political Science, LSE Library.
More about this item
Keywords
Elliptically symmetric distributions; Stein–Haff type identity; SURE estimators;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:158:y:2017:i:c:p:60-72. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.