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 ...

In this paper it is shown that, given a complex square matrix A all of whose leading principal minors are nonzero, there is a diagonal matrix D such that the product DA of the two matrices has all its ...

The project applied a recently developed exact diagonalization method which allows precise calculations of up to a trillion matrix elements, but requires large scale high performance computing.

If $A = (a_{ij})$ is an $n \times n$ irreducible matrix, then there are positive numbers $d_1, d_2, \cdots, d_n$ so that $\sum_k d_ia_{ik}d^{-1}_k = \sum_k d_ka_{ki}d ...