The program compute the following operations: matrix addition, matrix multiplication by a constant, matrix multiplication by another matrix, transposition along the main diagonal, the side diagonal, ...
In Kronecker products works, matrices are sometimes regarded as vectors and vectors are sometimes made in to matrices. To be precise about these reshaping we use the vector and diagonal extraction ...
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 ...
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