International Monetary Fund

High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

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 ...
JSTOR Daily

Maximum Likelihood Estimation of Barten's Demand Equations with a General, Symmetric or Diagonal Matrix of Specific Substitution Effects

This is a preview. Log in through your library . Journal Information Econometric Theory provides an authoritative outlet for original contributions in all of the major areas of econometrics. As well ...
Simon Fraser University

Covariance Matrix

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...
JSTOR Daily

PERTURBATION ANALYSIS OF THE EIGENVECTOR MATRIX AND SINGULAR VECTOR MATRICES

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 ...
Simon Fraser University

Modification Indices

If you specify the MODIFICATION or MOD option, PROC CALIS computes and displays a default set of modification indices: All of the preceding tests are approximations. You can often get more accurate ...