Low and high dimensional wavelet thresholds for matrix-variate normal distribution

• Published in: Communications in statistics. Simulation and computation Vol. 54; no. 7; pp. 2742 - 2761
• Main Authors: Karamikabir, H., Sanati, A., Hamedani, G. G.
• Format: Journal Article
• Language: English
• Published: Taylor & Francis 03.07.2025
• Subjects: High dimensional; Matrix-variate normal distribution; Shrinkage estimator; SURE threshold; Wavelet shrinkage method

The matrix-variate normal distribution is a probability distribution that is a generalization of the multivariate normal distribution to matrix-valued random variables. In this paper, we introduce a wavelet shrinkage estimator based on Stein's unbiased risk estimate (SURE) threshold for matrix-...