In the first case, there is a strong upward-sloping relationship between X and Y; in the second case, no apparent relationship; in the third case, a strong downward-sloping relationship. Note the ...

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...

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 new model for the simultaneous eigenstructure of multiple covariance matrices is proposed. The model is much more flexible than existing models and subsumes most of them as special cases. A Fisher ...