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math.ST2013
Optimal Shrinkage of Eigenvalues in the Spiked Covariance Model
David L. Donoho, Matan Gavish, Iain M. Johnstone
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…
math.ST2013★ 1 cited
Adaptation in a class of linear inverse problems
Iain M. Johnstone, Debashis Paul
We consider the linear inverse problem of estimating an unknown signal from noisy measurements on where the linear operator admits a wavelet-vaguelette decomposition (…