On Stein’s unbiased risk estimate for reduced rank estimators

Niels Richard Hansen

Statistics & Probability Letters, 2018, vol. 135, issue C, 76-82

Abstract: 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.

Keywords: Degrees of freedom; Reduced-rank regression; Singular value thresholding; Stein’s lemma; SURE (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2017.11.006

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