Given a square matrix mat, return the sum of the matrix diagonals. Only include the sum of all the elements on the primary diagonal and all the elements on the secondary diagonal that are not part of ...
Abstract Let A be an n × n Hermitian matrix and A = UΛUH be its spectral decomposition, where U is a unitary matrix of order n and Λ is a diagonal matrix. In this note we present the perturbation ...
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 ...
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