A majorization algorithm for constrained correlation matrix approximation (Q847204): Difference between revisions

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+Modern multidimensional scaling: theory and applications
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+Interest rate models -- theory and practice. With smile, inflation and credit
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+Efficient rank reduction of correlation matrices
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+Q4730687
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+Computing the nearest correlation matrix--a problem from finance
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+An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
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+Rank reduction of correlation matrices by majorization
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+Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
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+REDUCED ORDER KALMAN FILTERING WITHOUT MODEL REDUCTION
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+Optimal low-rank approximation to a correlation matrix
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+Publication:847204