On Stein's unbiased risk estimate for reduced rank estimators

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

SN - 0167-7152

VL - 135

SP - 76

EP - 82

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -