We model a covariance matrix in terms of its corresponding standard deviations and correlation matrix. We discuss two general modeling situations where this approach is useful: shrinkage estimation of ...

The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...

This paper discusses fluctuations of linear spectral statistics of high-dimensional sample covariance matrices when the underlying population follows an elliptical distribution. Such population often ...