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Optimal Shrinkage of Eigenvalues in the Spiked Covariance Model
We show that in a common high-dimensional covariance model, the choice of loss function has a profound effect on optimal estimation. In an asymptotic framework based on the Spiked Covariance model and use of orthogonally invariant estimators, we show that optimal estimation of the population covaria...
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| Publicado no: | Ann Stat |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2018
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6152949/ https://ncbi.nlm.nih.gov/pubmed/30258255 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/17-AOS1601 |
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