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 ...

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 ...

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 ...