A method of estimating the parameters of a linear regression model when the covariance matrix is an unknown diagonal matrix is investigated. It is assumed that the ...

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 a new algorithm for reducing an arbitrary real square matrix to tri-diagonal form using real similarity transformations is described. The method is essentially a generalization of a ...