Completing Correlation Matrices of Arbitrary Order by Differential Evolution Method of Global Optimization: A Fortran Program
نویسنده
چکیده
In some cases, the matrix available to the analyst/decision-maker is complete, but it is an invalid (not positive semi-definite) correlation matrix. There could be many reasons that give rise to such invalid matrices (Mishra, 2004). In such cases, the problem is to obtain a positive semi-definite approximate correlation matrix, which, in some sense, is closest to the given invalid matrix. A number of methods have been developed to obtain such nearest correlation matrices. The works of Rebonato and Jäckel (1999), Higham (2002), Anjos et al. (2003), Pietersz and Groenen (2004), Grubisic and Pietersz (2004) and Mishra (2004) are some of them.
منابع مشابه
The nearest correlation matrix problem: Solution by differential evolution method of global optimization
have many applications, particularly in marketing and financial economics as reflected in the works of Chesney and Scott (1989), Heston (1993), Schöbel and Zhu (1999), Tyagi and Das (1999), Xu and Evers (2003), etc. These matrices find frequent applications in risk management and option pricing (Rebonato and Jäckel, 1999). The need to forecast demand for a group of products in order to realize ...
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