This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

The least squares residuals are used to estimate the covariance matrix and the second step is the calculation of the generalized least squares estimator using the estimated covariance matrix. The ...

A procedure is presented for rapidly computing the diagnonal elements of a large numerator relationship matrix, say $\mathbf {A}$. It also generates a lower triangular matrix, say $\mathbf {L}$, ...

SAS/IML software has many built-in functions that generate useful matrices. For example, the J function creates a matrix with a given dimension and element value when you supply the number of rows and ...