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 ...

Integral Representations of Positive Definite Matrix-Valued Distributions on Cylinders, Transactions of the American Mathematical Society, Vol. 313, No. 1 (May, 1989), pp. 275-299 ...

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 ...