Computing the nearest correlation matrix--a problem from finance
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Cited in
(only showing first 100 items - show all)- Newton's method for computing the nearest correlation matrix with a simple upper bound
- On the family of multivariate chi-square copulas
- An application of the nearest correlation matrix on web document classification
- Support vector machine classification with indefinite kernels
- Regularized reconstruction of a surface from its measured gradient field
- Nonstationary modeling for multivariate spatial processes
- Computational and statistical tradeoffs via convex relaxation
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Functional analysis techniques to improve similarity matrices in discrimination problems
- Combining dependent \(F\)-tests for robust association of quantitative traits under genetic model uncertainty
- Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
- Proximal distance algorithms: theory and practice
- Concurrent generation of binary and nonnormal continuous data through fifth-order power polynomials
- Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
- Sparse kernel deep stacking networks
- A mixed derivative terms removing method in multi-asset option pricing problems
- An inexact primal-dual path following algorithm for convex quadratic SDP
- Alternative gradient algorithms for computing the nearest correlation matrix
- Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
- Computational acceleration of projection algorithms for the linear best approximation problem
- Simultaneous generation of multivariate mixed data with Poisson and normal marginals
- Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
- An acceleration scheme for Dykstra's algorithm
- A simulation framework for correlated count data of features subsets in high-throughput sequencing or proteomics experiments
- A projected semismooth Newton method for problems of calibrating least squares covariance matrix
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Multivariate elliptically contoured stable distributions: theory and estimation
- On the generalized low rank approximation of the correlation matrices arising in the asset portfolio
- An augmented Lagrangian dual optimization approach to the \(H\)-weighted model updating problem
- Generating Spike Trains with Specified Correlation Coefficients
- Single-index copulas
- Modified multiplicative update algorithms for computing the nearest correlation matrix
- Fréchet regression for random objects with Euclidean predictors
- Linear quantile mixed models
- An inexact spectral bundle method for convex quadratic semidefinite programming
- A majorization algorithm for constrained correlation matrix approximation
- Copula structure analysis
- Autocovariance estimation in regression with a discontinuous signal and \(m\)-dependent errors: a difference-based approach
- The spherical constraint in Boolean quadratic programs
- \(t\)-copula from the viewpoint of tail dependence matrices
- QSDPNAL: a two-phase augmented Lagrangian method for convex quadratic semidefinite programming
- Bounds for the distance to the nearest correlation matrix
- Solving the matrix nearness problem in the maximum norm by applying a projection and contraction method
- Semismoothness of solutions to generalized equations and the Moreau-Yosida regularization
- Approximation of rank function and its application to the nearest low-rank correlation matrix
- Alternating projections on nontangential manifolds
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- Anderson acceleration of the alternating projections method for computing the nearest correlation matrix
- Generalized Matrix Nearness Problems
- Dual approaches to finite element model updating
- Computing a nearest correlation matrix with factor structure
- Rank reduction of correlation matrices by majorization
- Robust inference of risks of large portfolios
- Efficient rank reduction of correlation matrices
- Structure methods for solving the nearest correlation matrix problem
- A Lipschitzian error bound for convex quadratic symmetric cone programming
- Estimating standard errors in regular vine copula models
- Solving \(k\)-cluster problems to optimality with semidefinite programming
- Functional mixed effects wavelet estimation for spectra of replicated time series
- Estimation of Positive Semidefinite Correlation Matrices by Using Convex Quadratic Semidefinite Programming
- Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
- Minimum rank (skew) Hermitian solutions to the matrix approximation problem in the spectral norm
- PPA-like contraction methods for convex optimization: a framework using variational inequality approach
- A modified alternating direction method for convex quadratically constrained quadratic semidefinite programs
- Scan statistic tail probability assessment based on process covariance and window size
- A note on the sufficient initial condition ensuring the convergence of directly extended 3-block ADMM for special semidefinite programming
- High-dimensional change-point estimation: combining filtering with convex optimization
- Information-geometric Markov chain Monte Carlo methods using diffusions
- Identifiability and estimation of meta-elliptical copula generators
- Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
- Regression for non-Euclidean data using distance matrices
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation
- A regularized strong duality for nonsymmetric semidefinite least squares problem
- Matching a correlation coefficient by a Gaussian copula
- Decomposition methods for sparse matrix nearness problems
- Stochastic sensitivity analysis of concentration measures
- On the low rank solution of the Q-weighted nearest correlation matrix problem.
- A feasible filter method for the nearest low-rank correlation matrix problem
- Financial stress, regime switching and spillover effects: evidence from a multi-regime global VAR model
- Change-Point Detection for Graphical Models in the Presence of Missing Values
- Covariance matrix estimation for left-censored data
- Robust estimation of precision matrices under cellwise contamination
- Pathway-based kernel boosting for the analysis of genome-wide association studies
- Robust and sparse estimation of the inverse covariance matrix using rank correlation measures
- High-dimensional generation of Bernoulli random vectors
- Block relaxation and majorization methods for the nearest correlation matrix with factor structure
- Stochastic approximation on Riemannian manifolds
- Statistical corrections of invalid correlation matrices
- High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
- Estimation of correlations in portfolio credit risk models based on noisy security prices
- Proximal alternating direction method with relaxed proximal parameters for the least squares covariance adjustment problem
- A partial parallel splitting augmented Lagrangian method for solving constrained matrix optimization problems
- Dependence calibration and portfolio fit with factor-based subordinators
- A convex quadratic semi-definite programming approach to the partial additive constant problem in multidimensional scaling
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- Un problème d'approximation matricielle : quelle est la matrice bistochastique la plus proche d'une matrice donnée ?
- An interior-point algorithm for semidefinite least-squares problems.
- Covariance kernels investigation from diffusive wave equations for data assimilation in hydrology
- Lyapunov-type least-squares problems over symmetric cones
- Covariance matrices associated to general moments of a random vector
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