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 ...

A class of methods for the computation of the maximal real eigenvalue and its associated eigenvector of a nonnegative irreducible matrix A is presented and the convergence of the methods is proved.

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 ...