MSE bounds for estimators of matrix functions
In: Linear Algebra and its Applications, Jg. 609 (2021), S. 231-252
Online
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Zugriff:
We establish bounds for Schatten norms of mean squared errors of plug-in estimators of matrix functions that are dimension-independent and optimal with respect to key parameters. We also obtain similar bounds for bias approximation errors that significantly sharpen existing bounds and extend their range of applicability. When applied to estimators of covariance matrix functions, our bounds reduce dimensional dependence of the sample size that ensures smallness of the estimation errors.
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MSE bounds for estimators of matrix functions
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Autor/in / Beteiligte Person: | Skripka, Anna |
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Zeitschrift: | Linear Algebra and its Applications, Jg. 609 (2021), S. 231-252 |
Veröffentlichung: | Elsevier BV, 2021 |
Medientyp: | unknown |
ISSN: | 0024-3795 (print) |
DOI: | 10.1016/j.laa.2020.08.036 |
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