Positive definite matrices play a central role in mathematics, physics, statistics and engineering due to their unique properties and widespread applicability. These matrices, which are characterised ...

A new class of large-sample covariance and spectral density matrix estimators is proposed based on the notion of flat-top kernels. The new estimators are shown to be higher-order accurate when ...

A flexible method is introduced to model the structure of a covariance matrix C and study the dependence of the covariances on explanatory variables by observing that for any real symmetric matrix A, ...