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 ...

(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 ...