Bounds for the Distance to the Nearest Correlation Matrix (Q2818268)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bounds for the Distance to the Nearest Correlation Matrix |
scientific article |
Statements
Bounds for the Distance to the Nearest Correlation Matrix (English)
0 references
7 September 2016
0 references
correlation matrix
0 references
distance to the nearest correlation matrix
0 references
indefinite matrix
0 references
positive semidefinite matrix
0 references
shrinking
0 references
modified Cholesky factorization
0 references
