In the first case, there is a strong upward-sloping relationship between X and Y; in the second case, no apparent relationship; in the third case, a strong downward-sloping relationship. Note the ...

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 new model for the simultaneous eigenstructure of multiple covariance matrices is proposed. The model is much more flexible than existing models and subsumes most of them as special cases. A Fisher ...