This paper describes an algorithm for reducing a real matrix A to block diagonal form by a real similarity transformation. The columns of the transformation corresponding to a block span a reducing ...

In this paper it is shown that, given a complex square matrix A all of whose leading principal minors are nonzero, there is a diagonal matrix D such that the product DA of the two matrices has all its ...

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 ...