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 ...

C. Donald La Budde, The Reduction of an Arbitrary Real Square Matrix to Tri-Diagonal Form Using Similarity Transformations, Mathematics of Computation, Vol. 17, No. 84 (Oct., 1963), pp. 433-437 ...