Computing a nearest correlation matrix with factor structure
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alternating directions methodalternating projections methodcorrelation matrixfactor structureNewton's methodpatterned covariance matrixpositive semidefinite matrixprincipal factor methodspectral projected gradient method
Vector spaces, linear dependence, rank, lineability (15A03) Positive matrices and their generalizations; cones of matrices (15B48) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonlinear programming (90C30)
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