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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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| Publicat a: | Ann Stat |
|---|---|
| Autors principals: | , , |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
2018
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| Matèries: | |
| Accés en línia: | 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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