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 ...

For matrices with positive diagonal elements and nonpositive off-diagonal elements (so-called L-matrices), a "generalized" diagonal dominance is found to be necessary for convergence of the ...

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 ...