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 ...

This paper describes an algorithm for reducing a real matrix A to block diagonal form by a real similarity transformation. The columns of the transformation corresponding to a block span a reducing ...

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 ...