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 ...

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 ...

Mathematics of Computation, Vol. 17, No. 84 (Oct., 1963), pp. 433-437 (5 pages) In this paper a new algorithm for reducing an arbitrary real square matrix to tri-diagonal form using real similarity ...