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On Stein’s unbiased risk estimate for reduced rank estimators

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  • Hansen, Niels Richard

Abstract

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.

Suggested Citation

  • Hansen, Niels Richard, 2018. "On Stein’s unbiased risk estimate for reduced rank estimators," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 76-82.
    • Handle: RePEc:eee:stapro:v:135:y:2018:i:c:p:76-82
    DOI: 10.1016/j.spl.2017.11.006
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    References listed on IDEAS

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    1. A. Mukherjee & K. Chen & N. Wang & J. Zhu, 2015. "On the degrees of freedom of reduced-rank estimators in multivariate regression," Biometrika, Biometrika Trust, vol. 102(2), pages 457-477.
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    Cited by:

    1. 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.
    2. Yuasa, Ryota & Kubokawa, Tatsuya, 2020. "Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 178(C).

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