Optimal Shrinkage of Eigenvalues in the Spiked Covariance Model.

Donoho, David L; Gavish, Matan; Johnstone, Iain M

Donoho, David L; Gavish, Matan; Johnstone, Iain M.

Afiliação

Donoho DL; Department of Statistics, Stanford University.
Gavish M; School of Computer Science and Engineering, Hebrew University of Jerusalem.
Johnstone IM; Department of Statistics, Stanford University.

Ann Stat ; 46(4): 1742-1778, 2018 Aug.

Article em En | MEDLINE | ID: mdl-30258255

Palavras-chave

Bhattacharya/Matusita Affinity; Condition Number Loss; Covariance Estimation; Divergence Loss; Entropy Loss; Fréchet Distance; High-Dimensional Asymptotics; Optimal Nonlinearity; Precision Estimation; Principal Component Shrinkage; Quadratic Loss; Spiked Covariance; Stein Loss

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Texto completo: 1 Base de dados: MEDLINE Idioma: En Ano de publicação: 2018 Tipo de documento: Article

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Texto completo: 1 Base de dados: MEDLINE Idioma: En Ano de publicação: 2018 Tipo de documento: Article