Computing a nearest correlation matrix with factor structure (Q3079761)
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scientific article; zbMATH DE number 5859912
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| default for all languages | No label defined |
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| English | Computing a nearest correlation matrix with factor structure |
scientific article; zbMATH DE number 5859912 |
Statements
Computing a Nearest Correlation Matrix with Factor Structure (English)
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2 March 2011
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correlation matrix
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factor structure
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Newton's method
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principal factor method
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patterned covariance matrix
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positive semidefinite matrix
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alternating directions method
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alternating projections method
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spectral projected gradient method
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0.8684296011924744
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0.8525157570838928
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0.8475387096405029
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0.8471785187721252
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