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Unbiased risk estimates for matrix estimation in the elliptical case

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  • Canu, Stéphane
  • Fourdrinier, Dominique

Abstract

This paper is concerned with additive models of the form Y=M+E, where Y is an observed n×m matrix with m

Suggested Citation

  • Canu, Stéphane & Fourdrinier, Dominique, 2017. "Unbiased risk estimates for matrix estimation in the elliptical case," Journal of Multivariate Analysis, Elsevier, vol. 158(C), pages 60-72.
    • Handle: RePEc:eee:jmvana:v:158:y:2017:i:c:p:60-72
    DOI: 10.1016/j.jmva.2017.03.008
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    References listed on IDEAS

    as
    1. Hua Zhou & Lexin Li, 2014. "Regularized matrix regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 76(2), pages 463-483, March.
    2. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
    3. Dominique Fourdrinier & William Strawderman, 2003. "On Bayes and unbiased estimators of loss," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 803-816, December.
    4. Aurélie Boisbunon & Stéphane Canu & Dominique Fourdrinier & William Strawderman & Martin T. Wells, 2014. "Akaike's Information Criterion, C p and Estimators of Loss for Elliptically Symmetric Distributions," International Statistical Review, International Statistical Institute, vol. 82(3), pages 422-439, December.
    5. Fourdrinier, Dominique & Strawderman, William E. & Wells, Martin T., 2003. "Robust shrinkage estimation for elliptically symmetric distributions with unknown covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 24-39, April.
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    Cited by:

    1. Haddouche, Anis M. & Fourdrinier, Dominique & Mezoued, Fatiha, 2021. "Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
    2. Fourdrinier, Dominique & Haddouche, Anis M. & Mezoued, Fatiha, 2021. "Covariance matrix estimation under data-based loss," Statistics & Probability Letters, Elsevier, vol. 177(C).

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