Stein unbiased risk estimate as a model selection estimator
Joint Authors
Source
Revue D'économie et de Statistique Appliquée
Issue
Vol. 17, Issue 3 (31 Dec. 2020), pp.154-165, 12 p.
Publisher
National Higher School of Statistics and Applied Economics
Publication Date
2020-12-31
Country of Publication
Algeria
No. of Pages
12
Main Subjects
Information Technology and Computer Science
Abstract EN
To restore a low-rank structure from a noisy matrix, many recent authors has used and studied truncated singular value decomposition.
So thus, according to these studies, the image can be better estimated by shrinking the singular values as well.
In this paper, we are interested in the performance of the model proposed by Candès (2012) for other thresholding function (Minimax Concave Penalty (MCP)), and under the assumption that the distribution of data matrix Y belongs to an elliptically distribution family which extends the Gaussian case.
Under this distributional context, we propose to apply stein unbiased risk estimate (SURE) improved by S.
Canu and D.
Fourdrinier (2017), in order to select the best thresholding function between MCP and Soft-thresholding, and the optimal shrinking parameter λ from the data Y.
Numerical results reveal that the risk estimate SURE is good, the minima are reached for the same λ (λ∗ =λ ̂= 5218.
4) and the difference between the estimated (SURE) and the usual (Mean Square Error (MSE)) risks is small, and that the risk of MCP is lower than the one of Soft.
American Psychological Association (APA)
Nuri, Nihad& Mazwad, Fatihah. 2020. Stein unbiased risk estimate as a model selection estimator. Revue D'économie et de Statistique Appliquée،Vol. 17, no. 3, pp.154-165.
https://search.emarefa.net/detail/BIM-1062875
Modern Language Association (MLA)
Nuri, Nihad& Mazwad, Fatihah. Stein unbiased risk estimate as a model selection estimator. Revue D'économie et de Statistique Appliquée Vol. 17, no. 3 (Dec. 2020), pp.154-165.
https://search.emarefa.net/detail/BIM-1062875
American Medical Association (AMA)
Nuri, Nihad& Mazwad, Fatihah. Stein unbiased risk estimate as a model selection estimator. Revue D'économie et de Statistique Appliquée. 2020. Vol. 17, no. 3, pp.154-165.
https://search.emarefa.net/detail/BIM-1062875
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 164-165
Record ID
BIM-1062875