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 ...

run; The matrix pattern includes several equality constraints. Two loadings in the first and second factor of F2 (parameter names Y1 and Y2) and the two factor correlations in the diagonal of matrix ...

A class of methods for the computation of the maximal real eigenvalue and its associated eigenvector of a nonnegative irreducible matrix A is presented and the convergence of the methods is proved.

The least squares residuals are used to estimate the covariance matrix and the second step is the calculation of the generalized least squares estimator using the estimated covariance matrix. The ...