Shrinkage to Smooth Non-convex Cone : Principal Component Analysis As

Abstract

In Kuriki and Takemura (1997a) we established a general theory of James-Stein type shrinkage to convex sets with smooth boundary. In this paper we show that our results can be generalized to the case where shrinkage is toward smooth non-convex cones. A primary example of this shrinkage is descriptive principal component analysis, where one shrinks small… (More)

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