Suppose estimates are available for correlations between pairs of variables but that the matrix of correlation estimates is not positive definite. In various applications, having a valid correlation ...

The Annals of Statistics, Vol. 43, No. 6 (December 2015), pp. 2706-2737 (32 pages) High-dimensional statistical tests often ignore correlations to gain simplicity and stability leading to null ...

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 ...

Random Matrix Theory (RMT) has emerged as an indispensable framework for understanding the statistical properties of matrices whose entries are determined by probabilistic processes. Initially ...