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 procedure is presented for rapidly computing the diagnonal elements of a large numerator relationship matrix, say $\mathbf {A}$. It also generates a lower triangular matrix, say $\mathbf {L}$, ...

C. Donald La Budde, The Reduction of an Arbitrary Real Square Matrix to Tri-Diagonal Form Using Similarity Transformations, Mathematics of Computation, Vol. 17, No. 84 (Oct., 1963), pp. 433-437 ...