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 diagonal elements of G are assumed to be known functions of the explanatory variables X and an unknown parameter vector θ, where θ is permitted to contain elements of β. A weighted joint least ...

By James McCaffrey 01/03/2024 Get Code Download Computing the inverse of a matrix is one of the most important operations in machine learning. If some matrix A has shape n-by-n, then its inverse ...

Jianhua Z. Huang, Naiping Liu, Mohsen Pourahmadi, Linxu Liu, Covariance Matrix Selection and Estimation via Penalised Normal Likelihood, Biometrika, Vol. 93, No. 1 (Mar., 2006), pp. 85-98 ... The ...