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 ...

Abstract Let A be an n × n Hermitian matrix and A = UΛUH be its spectral decomposition, where U is a unitary matrix of order n and Λ is a diagonal matrix. In this note we present the perturbation ...

May’s celebrated theoretical work of the 70’s contradicted the established paradigm by demonstrating that complexity leads to instability in biological systems. Here May’s random-matrix modelling ...