This paper introduces a new method for deriving covariance matrix estimators that are decision-theoretically optimal. The key is to employ large-dimensional asymptotics: the matrix dimension and the sample size go to infinity together, with their ratio converging to a finite, nonzero limit. As...

"In this chapter we consider elements of matrix algebra, knowledge of which is essential for our future work. This body of mathematics centres around the concepts of Kronecker products and vecs of a matrix. From the elements of a matrix and a matrix the Kronecker product forms a new matrix. The...