(2009) to target the diagonal elements of the sample covariance matrix. We derive the closed-form solution of the shrinkage parameter and show by simulation that, when the diagonal elements of the ...

If some matrix A has shape n-by-n, then its inverse matrix Ai is n-by-n and the matrix product of Ai * A is the n-by-n Identity matrix (1s on the upper-left to lower-right main diagonal, 0s off the ...