Dr. James McCaffrey of Microsoft Research presents a full-code, step-by-step tutorial on an implementation of the technique that emphasizes simplicity and ease-of-modification over robustness and ...

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 ...

A method is presented for calculating a matrix spectrum with a given set of eigenvalues. It can be used to build systems with different spectrums with the aim of choosing desired alternative. It ...