A simple technique, developed in Phillips (unpublished Ph.D. dissertation, University of Windsor, Windsor, Ontario, 1987), is used to approximate cov($\hat\theta_{MH}, \hat p_i$), i = 1, 2, where ...
This is a preview. Log in through your library . Abstract This paper adds motivations for the use of the sample variance-covariance matrix estimator $\hat{\Sigma}$ in repeated measurement designs by: ...
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 ...
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