Computing a Nearest Correlation Matrix with Factor Structure (Q3079761)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing a Nearest Correlation Matrix with Factor Structure |
scientific article |
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Computing a Nearest Correlation Matrix with Factor Structure (English)
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2 March 2011
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correlation matrix
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factor structure
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Newton's method
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principal factor method
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patterned covariance matrix
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positive semidefinite matrix
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alternating directions method
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alternating projections method
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spectral projected gradient method
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