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.

A Diagonal Perspective on Matrices Eugene C. Boman and Margaret A. Misconish The College Mathematics Journal , pp. 37-38 (2 pages) ...

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 ...