Optimal shrinkage of eigenvalues in the spiked covariance...

The Annals of Statistics 2018 / 08 Vol. 46; Iss. 4

Optimal shrinkage of eigenvalues in the spiked covariance model

Donoho, David, Gavish, Matan, Johnstone, Iain
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Volume:
46
Language:
english
Journal:
The Annals of Statistics
DOI:
10.1214/17-AOS1601
Date:
August, 2018
File:
PDF, 575 KB
english, 2018
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