Before revision:  The results are obtained under the assumption that both the dimension p and the sample size n tend to infinity such that  n ^{-1p^{1-\gamma} } \to c\in(0,+\infty) and \gamma\in 0, 1) . Under weak conditions imposed on the the underlying data generating process, we find the asymptotic equivalents to the optimal shrinkage intensities , prove their asymptotic normality, and estimate them consistently.
After revision:  The results are obtained under the assumption that both the dimension p and the sample size n tend to infinity such that n p^{1-\gamma} } \to c\in(0,+\infty) and \gamma\in 0, 1) . Under weak conditions imposed on the the underlying data generating process, we find the asymptotic equivalents to the optimal shrinkage intensities , prove their asymptotic normality, and estimate them consistently.