A new class of large-sample covariance and spectral density matrix estimators is proposed based on the notion of flat-top kernels. The new estimators are shown to be higher-order accurate when ...
Restoring Definiteness via Shrinking, with an Application to Correlation Matrices with a Fixed Block
This is a preview. Log in through your library . Abstract Indefinite approximations of positive semidefinite matrices arise in various data analysis applications involving covariance matrices and ...
can be solved by solving an equivalent linear complementarity problem when H is positive semidefinite. The approach is outlined in the discussion of the LCP subroutine in Chapter 17, "Language ...
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