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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…
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Keywords:
matrix;
correlation matrix;
matrix via;
nearest correlation ... See more keywords