Computing Nearest Correlation Matrix via Low-Rank ODE's Based Technique
Sign Up to like & getrecommendations! Published in 2020 at "Symmetry"
DOI: 10.3390/sym12111824
Abstract: For n-dimensional real-valued matrix A, the computation of nearest correlation matrix; that is, a symmetric, positive semi-definite, unit diagonal and off-diagonal entries between −1 and 1 is a problem that arises in the finance industry… read more here.
Keywords: matrix; correlation matrix; matrix via; nearest correlation ... See more keywords