Dr. James McCaffrey of Microsoft Research presents a full-code, step-by-step tutorial on an implementation of the technique that emphasizes simplicity and ease-of-modification over robustness and ...

Let $B \in M_{n}(C)$ be a row diagonally dominant matrix, i.e., $\sigma_i \left\vert b_{ii}\right\vert = \sum\limits_{{j=i} \atop {j\not=i}}^n} \left\vert b_{ij ...

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 ...