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On the degrees of freedom of reduced-rank estimators in multivariate regression
We study the effective degrees of freedom of a general class of reduced-rank estimators for multivariate regression in the framework of Stein's unbiased risk estimation. A finite-sample exact unbiased estimator is derived that admits a closed-form expression in terms of the thresholded singular...
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| Veröffentlicht in: | Biometrika |
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| Hauptverfasser: | , , , |
| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
2015
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| Schlagworte: | |
| Online Zugang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4684945/ https://ncbi.nlm.nih.gov/pubmed/26702155 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/biomet/asu067 |
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