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 ...

This paper describes an algorithm for reducing a real matrix A to block diagonal form by a real similarity transformation. The columns of the transformation corresponding to a block span a reducing ...

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 ...