The project applied a recently developed exact diagonalization method which allows precise calculations of up to a trillion matrix elements, but requires large scale high performance computing.

Mark Lotkin, The Diagonalization of Certain Normal Matrices, The American Mathematical Monthly, Vol. 67, No. 9 (Nov., 1960), pp. 861-865 ...

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 ...

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 ...