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 ...
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 ...
JSTOR Daily

On the Product of Diagonal Elements of a Positive Matrix

Mathematics Magazine presents articles and notes on undergraduate mathematical topics in a lively expository style that appeals to students and faculty throughout the undergraduate years. The journal ...