Notice that the covariance matrix is symmetric because covariance(x, y) = covariance(y, x). The values on the diagonal of the covariance matrix are all the same (1.1250) due to the z-score ...

Covariance Matrix The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian ...

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 ...

Eigenvectors of some large sample covariance matrix ensembles. Probability Theory and Related Fields, 151(1–2), 233–264. 2. Potters, M, & Bouchaud, JP (2020). A first course in random matrix theory: ...

Covariance Matrix The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final ...