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 ...

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.

This article sheds light on the asymptotic behavior of diagonal elements of projection matrices associated with instruments or regressors under many instrument/regressor asymptotics. When the diagonal ...