(2009) to target the diagonal elements of the sample covariance matrix. We derive the closed-form solution of the shrinkage parameter and show by simulation that, when the diagonal elements of the ...

You can use the ASINGULAR=, MSINGULAR=, and VSINGULAR= options to set three singularity criteria for the inversion of the Hessian matrix H. The singularity criterion used for the inversion is where ...