See Ledoit (1995, Appendix B.1). covCor: Linear shrinkage towards constant-correlation matrix; the target preserves the diagonal of the sample covariance matrix and all correlation coefficients are ...

In acoustic array processing, beamforming is a class of algorithms commonly used to estimate the position of a radiating sound source. This paper presents a diagonal unloading (DU) transformation ...

expmv contains two MATLAB functions for computing expm (t*A)*b without explicitly forming expm (t*A), where A is an n-by-n matrix and b is an n-by-1 vector. This is the problem of computing the action ...