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 matrix is said to be of Toeplitz type if it has equal elements along diagonals. These matrices, with the additional property of symmetry, arise frequently in statistical work, as covariance matrices ...

Dozens of machine learning algorithms require computing the inverse of a matrix. Computing a matrix inverse is conceptually easy, but implementation is one of the most challenging tasks in numerical ...