Computing the nearest correlation matrix--a problem from finance (Q146787)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing the nearest correlation matrix--a problem from finance |
scientific article |
Statements
22
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3
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329-343
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1 July 2002
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16 February 2003
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Computing the nearest correlation matrix--a problem from finance (English)
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correlation matrix
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positive definite matrix
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nearness problem
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convex analysis
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weighted Frobenius norm
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alternating projections method
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semidefinite programming
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algorithm
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convergence
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