Optimal singular value shrinkage for operator norm loss: Extending to non-square matrices

被引：3
|
作者：
Leeb, William [1 ]
机构：
[1] Univ Minnesota, Sch Math, Minneapolis, MN 55455 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2022年 / 186卷
关键词：
Singular value shrinkage; Operator norm loss; Schatten loss; Linear prediction; Best linear predictor;
D O I：
10.1016/j.spl.2022.109472
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We correct a formula of Gavish and Donoho for singular value shrinkage with operator norm loss for non-square matrices. We also observe that in the classical regime, optimal shrinkage for any Schatten loss converges to the best linear predictor. (c) 2022 Elsevier B.V. All rights reserved.
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页数：7
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