A numerical procedure for finding the positive definite matrix closest to a patterned matrix
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Publication:1186633
DOI10.1016/0167-7152(91)90006-DzbMath0850.62486MaRDI QIDQ1186633
Publication date: 28 June 1992
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
62H99: Multivariate analysis
62H12: Estimation in multivariate analysis
15A45: Miscellaneous inequalities involving matrices
65C99: Probabilistic methods, stochastic differential equations
Uses Software
Cites Work
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- A generalized simplex for factor analysis
- Two testing problems relating the real and complex multivariate normal distributions
- Distribution of eigenvalues in multivariate statistical analysis
- Computing a nearest symmetric positive semidefinite matrix
- Analysis of evolution: evolutionary rates, independence and treeness
- Invariant normal models
- Testing and Estimation for a Circular Stationary Model