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 ...

In this paper a new algorithm for reducing an arbitrary real square matrix to tri-diagonal form using real similarity transformations is described. The method is essentially a generalization of a ...

This is a preview. Log in through your library . Abstract A class of methods for the computation of the maximal real eigenvalue and its associated eigenvector of a nonnegative irreducible matrix A is ...