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 ...

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...

This is a preview. Log in through your library . Abstract A procedure is presented for rapidly computing the diagnonal elements of a large numerator relationship matrix, say $\mathbf{A}$. It also ...

SIAM Journal on Numerical Analysis, Vol. 9, No. 3 (Sep., 1972), pp. 454-463 (10 pages) If the matrix A is consistently ordered, it is often possible to choose the relaxation factor so that the ...