Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...

In this paper it is shown that, given a complex square matrix A all of whose leading principal minors are nonzero, there is a diagonal matrix D such that the product DA of the two matrices has all its ...

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...

This is a preview. Log in through your library . Abstract A class of methods for the computation of the maximal real eigenvalue and its associated eigenvector of a nonnegative irreducible matrix A is ...

SAS/IML software has many built-in functions that generate useful matrices. For example, the J function creates a matrix with a given dimension and element value when you supply the number of rows and ...

Dr. James McCaffrey of Microsoft Research presents a full-code, step-by-step tutorial on an implementation of the technique that emphasizes simplicity and ease-of-modification over robustness and ...