Computing the Nearest Correlation Matrix
نویسنده
چکیده
منابع مشابه
Computing the Nearest Correlation Matrix—A Problem from Finance
Given a symmetric matrix what is the nearest correlation matrix, that is, the nearest symmetric positive semidefinite matrix with unit diagonal? This problem arises in the finance industry, where the correlations are between stocks. For distance measured in two weighted Frobenius norms we characterize the solution using convex analysis. We show how the modified alternating projections method ca...
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