Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block (Q2805267)
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scientific article; zbMATH DE number 6578896
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| English | Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block |
scientific article; zbMATH DE number 6578896 |
Statements
10 May 2016
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covariance matrix
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correlation matrix
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indefinite matrix
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positive semidefinite matrix
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shrinking
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bisection method
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Newton method
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symmetric definite generalized eigenvalue problem
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weighting
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fixed block
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0.8401674
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0.8360593
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0.8342372
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0.8327776
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0.8311786
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0.82677984
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0.82541925
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0.82541925
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Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block (English)
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