This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

In matrix algebra, the inverse of some matrix A is a matrix Ainv if A * Ainv = Ainv * A = I, where * indicates matrix multiplication, and I is the identity matrix (1.0 values on the upper-left to ...

In matrix algebra, the inverse of some matrix A is a matrix Ainv if A * Ainv = Ainv * A = I, where * indicates matrix multiplication, and I is the identity matrix (1.0 values on the upper-left to ...