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 Data Science Lab Matrix Inverse from Scratch Using SVD Decomposition with C# Dr. James McCaffrey of Microsoft Research presents a full-code, step-by-step tutorial on an implementation of the ...

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 ...