Statistical rehabilitation of improper correlation matrices (Q3088326): Difference between revisions

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+https://doi.org/10.1080/14697680903390118
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+W2092534505
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@@ Property / cites work @@
+A Limited Memory Algorithm for Bound Constrained Optimization
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@@ Property / cites work @@
+Integrated risk modelling
@@ Property / cites work: Integrated risk modelling / rank @@
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+Efficient rank reduction of correlation matrices
@@ Property / cites work: Efficient rank reduction of correlation matrices / rank @@
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+Computing the nearest correlation matrix--a problem from finance
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@@ Property / cites work @@
+A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
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@@ links / mardi / name / links / mardi / name @@
+Publication:3088326