Rectangular Rotational Invariant Estimator for General Additive Noise Matrices
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We propose a rectangular rotational invariant estimator to recover a real matrix from noisy matrix observations coming from an arbitrary additive rotational invariant perturbation, in the large dimension limit. Using the Bayes-optimality of this estimator, we derive the asymptotic minimum mean squared error (MMSE). For the particular case of Gaussian noise, we find an explicit expression for the MMSE in terms of the limiting singular value distribution of the observation matrix. Moreover, we prove a formula linking the asymptotic mutual information and the limit of log-spherical integral of rectangular matrices. We also provide numerical checks for our results, which match our theoretical predictions and known Bayesian inference results.
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