Computing the nearest correlation matrix--a problem from finance
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- Linear quantile mixed models
- Fréchet regression for random objects with Euclidean predictors
- Joint hierarchical generalized linear models with multivariate Gaussian random effects
- Exact augmented Lagrangian functions for nonlinear semidefinite programming
- Financial stress, regime switching and spillover effects: evidence from a multi-regime global VAR model
- Estimation of correlations in portfolio credit risk models based on noisy security prices
- Robust estimation of precision matrices under cellwise contamination
- Covariance matrix estimation for left-censored data
- Square roots of \(3\times 3\) matrices
- A novel method for a class of structured low-rank minimizations with equality constraint
- Pathway-based kernel boosting for the analysis of genome-wide association studies
- Inexact SA method for constrained stochastic convex SDP and application in Chinese stock market
- Proximal alternating direction method with relaxed proximal parameters for the least squares covariance adjustment problem
- Optimal graph Laplacian
- QSDPNAL: a two-phase augmented Lagrangian method for convex quadratic semidefinite programming
- Single-index copulas
- Approximation algorithms from inexact solutions to semidefinite programming relaxations of combinatorial optimization problems
- Market risk management in a post-Basel II regulatory environment
- High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
- Lyapunov-type least-squares problems over symmetric cones
- From Bareiss' algorithm to the stable computation of partial correlations
- Solving \(k\)-cluster problems to optimality with semidefinite programming
- A general self-adaptive relaxed-PPA method for convex programming with linear constraints
- Stochastic approximation on Riemannian manifolds
- On the inexact scaled gradient projection method
- Geometric adaptive Monte Carlo in random environment
- A sample covariance-based approach for spatial binary data
- A semidefinite programming approach for the projection onto the cone of negative semidefinite symmetric tensors with applications to solid mechanics
- Frequentist conditional variance for nonlinear mixed-effects models
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- t-copula from the viewpoint of tail dependence matrices
- An interior-point algorithm for semidefinite least-squares problems.
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- Covariance matrices associated to general moments of a random vector
- Estimating standard errors in regular vine copula models
- Simulation of Y-chromosomal haplotype data
- A projected semismooth Newton method for problems of calibrating least squares covariance matrix
- On the efficient computation of a generalized Jacobian of the projector over the Birkhoff polytope
- NORTA for portfolio credit risk
- Matrix optimization over low-rank spectral sets: stationary points and local and global minimizers
- Accuracy of approximate projection to the semidefinite cone
- Sparse kernel deep stacking networks
- Development and evaluation of geostatistical methods for non-Euclidean-based spatial covariance matrices
- On the R-superlinear convergence of the KKT residuals generated by the augmented Lagrangian method for convex composite conic programming
- Goodness-of-fit tests for the family of multivariate chi-square copulas
- Minimum rank (skew) Hermitian solutions to the matrix approximation problem in the spectral norm
- Regularized reconstruction of a surface from its measured gradient field
- Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
- High-dimensional change-point estimation: combining filtering with convex optimization
- Stochastic sensitivity analysis of concentration measures
- Canonical correlation for principal components of time series
- Dual approaches to finite element model updating
- Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach
- Alternative gradient algorithms for computing the nearest correlation matrix
- An application of the nearest correlation matrix on web document classification
- Computing the least-square solutions for centrohermitian matrix problems
- Computational acceleration of projection algorithms for the linear best approximation problem
- A lower bound for the nearest correlation matrix problem based on the circulant mean
- Semismoothness of solutions to generalized equations and the Moreau-Yosida regularization
- PPA-like contraction methods for convex optimization: a framework using variational inequality approach
- Limited memory BFGS method for least squares semidefinite programming with banded structure
- The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting
- Structure methods for solving the nearest correlation matrix problem
- Two useful techniques for financial modelling problems
- Operator-Lipschitz estimates for the singular value functional calculus
- Projection Methods in Conic Optimization
- PENNON: software for linear and nonlinear matrix inequalities
- Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
- Bounds for the distance to the nearest correlation matrix
- Statistical corrections of invalid correlation matrices
- A mixed derivative terms removing method in multi-asset option pricing problems
- Copula structure analysis
- Robust and sparse estimation of the inverse covariance matrix using rank correlation measures
- Information-geometric Markov chain Monte Carlo methods using diffusions
- Concurrent generation of binary and nonnormal continuous data through fifth-order power polynomials
- A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
- Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
- Anderson acceleration of the alternating projections method for computing the nearest correlation matrix
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- Robust inference of risks of large portfolios
- Statistical rehabilitation of improper correlation matrices
- A Lipschitzian error bound for convex quadratic symmetric cone programming
- Functional mixed effects wavelet estimation for spectra of replicated time series
- Dynamic modeling of high-dimensional correlation matrices in finance
- Robust estimation of historical volatility and correlations in risk management
- Combining dependent F-tests for robust association of quantitative traits under genetic model uncertainty
- On the family of multivariate chi-square copulas
- Modified multiplicative update algorithms for computing the nearest correlation matrix
- On maximum likelihood estimation of the general projected normal distribution
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