132 citations · 305 across the 14 of their papers we have counts for
Showing 2013 · math.STShow all
2 papers · 2 filters
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★ 132 cited
Minimax risk of matrix denoising by singular value thresholding
David Donoho, Matan Gavish
An unknown by matrix is to be estimated from noisy measurements , where the noise matrix has i.i.d. Gaussian entries. A popular matrix denoising scheme s…