The only valid matrix positions for a DIA or ZDI matrix are the diagonal elements; for an UPP or LOW matrix, the valid positions are the elements above or below the diagonal; and for a symmetric ...

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 ...

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 ...

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.