Computing the nearest correlation matrix--a problem from finance
From MaRDI portal
Publication:146787
DOI10.1093/imanum/22.3.329zbMath1006.65036OpenAlexW2091560152WikidataQ55954072 ScholiaQ55954072MaRDI QIDQ146787
N. J. Higham, Nicholas J. Higham
Publication date: 1 July 2002
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: http://eprints.maths.manchester.ac.uk/232/1/paper3.pdf
algorithmconvergencesemidefinite programmingpositive definite matrixconvex analysiscorrelation matrixalternating projections methodnearness problemweighted Frobenius norm
Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to overdetermined systems, pseudoinverses (65F20)
Related Items
DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE, BROWNIAN MOTION MINUS THE INDEPENDENT INCREMENTS: REPRESENTATION AND QUEUING APPLICATION, Modeling and analysis of functional method comparison data, A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices, Decomposition Methods for Sparse Matrix Nearness Problems, A convex quadratic semi-definite programming approach to the partial additive constant problem in multidimensional scaling, Gradient methods and conic least-squares problems, Robust estimation of historical volatility and correlations in risk management, Covariance kernels investigation from diffusive wave equations for data assimilation in hydrology, Change-Point Detection for Graphical Models in the Presence of Missing Values, Copula Structure Analysis, Combining dependent F-tests for robust association of quantitative traits under genetic model uncertainty, Simultaneous generation of multivariate mixed data with Poisson and normal marginals, Matching a correlation coefficient by a Gaussian copula, Estimation of Positive Semidefinite Correlation Matrices by Using Convex Quadratic Semidefinite Programming, Limited memory BFGS method for least squares semidefinite programming with banded structure, The Generalized Fisher's Combination and Accurate P-Value Calculation under Dependence, Generalized Matrix Nearness Problems, Complex portfolio selection via convex mixed‐integer quadratic programming: a survey, CORRELATION ESTIMATION IN HYBRID SYSTEMS, Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices, A new methodology to create valid time-dependent correlation matrices via isospectral flows, An inexact projected gradient method with rounding and lifting by nonlinear programming for solving rank-one semidefinite relaxation of polynomial optimization, Robust and Sparse Estimation of the Inverse Covariance Matrix Using Rank Correlation Measures, Likelihood Geometry of Correlation Models, Concurrent generation of binary and nonnormal continuous data through fifth-order power polynomials, The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting, Rank reduction of correlation matrices by majorization, A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem, Actuarial Risk Matrices: The Nearest Positive Semidefinite Matrix Problem, Regression for non-Euclidean data using distance matrices, Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach, Alternative gradient algorithms for computing the nearest correlation matrix, Estimating a covariance matrix for market risk management and the case of credit default swaps, Adjusting covariance matrix for risk management, A guide to conic optimisation and its applications, Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case, Low Rank Pure Quaternion Approximation for Pure Quaternion Matrices, An extended projective formula and its application to semidefinite optimization, Un problème d'approximation matricielle : quelle est la matrice bistochastique la plus proche d'une matrice donnée ?, A note on the sufficient initial condition ensuring the convergence of directly extended 3-block ADMM for special semidefinite programming, BinNor: An R Package for Concurrent Generation of Binary and Normal Data, Computational and statistical tradeoffs via convex relaxation, Autocovariance Estimation in Regression with a Discontinuous Signal and m‐Dependent Errors: A Difference‐Based Approach, On the low rank solution of the Q‐weighted nearest correlation matrix problem, Computing the least-square solutions for centrohermitian matrix problems, Calibrating low-rank correlation matrix problem: an SCA-based approach, Computational acceleration of projection algorithms for the linear best approximation problem, Operator-Lipschitz estimates for the singular value functional calculus, Proximal Distance Algorithms: Theory and Examples, Generating Spike Trains with Specified Correlation Coefficients, An acceleration scheme for Dykstra's algorithm, A lower bound for the nearest correlation matrix problem based on the circulant mean, 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, Sparse estimation of multivariate Poisson log‐normal models from count data, Bounds for the Distance to the Nearest Correlation Matrix, Concurrent generation of multivariate mixed data with variables of dissimilar types, Statistical rehabilitation of improper correlation matrices, On maximum likelihood estimation of the general projected normal distribution, Unnamed Item, Dependence calibration and portfolio fit with factor-based subordinators, An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling, Global convergence of the alternating projection method for the Max-Cut relaxation problem, Semismoothness of solutions to generalized equations and the Moreau-Yosida regularization, Graph theoretical representations of equity indices and their centrality measures, Unnamed Item, Statistical Corrections of Invalid Correlation Matrices, Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections, Replica analysis of overfitting in generalized linear regression models, Regressograms and Mean-Covariance Models for Incomplete Longitudinal Data, Joint hierarchical generalized linear models with multivariate Gaussian random effects, Structure methods for solving the nearest correlation matrix problem, Exact augmented Lagrangian functions for nonlinear semidefinite programming, A mixed derivative terms removing method in multi-asset option pricing problems, Information-geometric Markov chain Monte Carlo methods using diffusions, 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, Robust inference of risks of large portfolios, A Lipschitzian error bound for convex quadratic symmetric cone programming, Correlation stress testing for value-at-risk: an unconstrained convex optimization approach, Functional mixed effects wavelet estimation for spectra of replicated time series, A majorization algorithm for constrained correlation matrix approximation, \(t\)-copula from the viewpoint of tail dependence matrices, On the family of multivariate chi-square copulas, An interior-point algorithm for semidefinite least-squares problems., Randomly generating portfolio-selection covariance matrices with specified distributional characteristics, Scan statistic tail probability assessment based on process covariance and window size, 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, High-dimensional change-point estimation: combining filtering with convex optimization, Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation, Robust estimation of precision matrices under cellwise contamination, Covariance matrix estimation for left-censored data, Stochastic sensitivity analysis of concentration measures, Canonical correlation for principal components of time series, Efficient rank reduction of correlation matrices, Limited memory BFGS algorithm for the matrix approximation problem in Frobenius norm, Square roots of \(3\times 3\) matrices, A novel method for a class of structured low-rank minimizations with equality constraint, Solving \(k\)-cluster problems to optimality with semidefinite programming, Approximation of rank function and its application to the nearest low-rank correlation matrix, Alternating projections on nontangential manifolds, Functional analysis techniques to improve similarity matrices in discrimination problems, A modified alternating direction method for convex quadratically constrained quadratic semidefinite programs, A partial parallel splitting augmented Lagrangian method for solving constrained matrix optimization problems, An augmented Lagrangian dual optimization approach to the \(H\)-weighted model updating problem, Newton's method for computing the nearest correlation matrix with a simple upper bound, On the generalized low rank approximation of the correlation matrices arising in the asset portfolio, Dual approaches to finite element model updating, Pathway-based kernel boosting for the analysis of genome-wide association studies, Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments, Inexact SA method for constrained stochastic convex SDP and application in Chinese stock market, Solving the matrix nearness problem in the maximum norm by applying a projection and contraction method, A regularized strong duality for nonsymmetric semidefinite least squares problem, Nonstationary modeling for multivariate spatial processes, A novel statistical approach for comparing meta-heuristic stochastic optimization algorithms according to the distribution of solutions in the search space, The spherical constraint in Boolean quadratic programs, Proximal alternating direction method with relaxed proximal parameters for the least squares covariance adjustment problem, Measuring the stability of spectral clustering, A constrained matrix least-squares problem in structural dynamics model updating, COSMO: a conic operator splitting method for convex conic problems, Optimal graph Laplacian, A feasible filter method for the nearest low-rank correlation matrix problem, QSDPNAL: a two-phase augmented Lagrangian method for convex quadratic semidefinite programming, Single-index copulas, An efficient numerical method for condition number constrained covariance matrix approximation, Approximation algorithms from inexact solutions to semidefinite programming relaxations of combinatorial optimization problems, Market risk management in a post-Basel II regulatory environment, A simulation framework for correlated count data of features subsets in high-throughput sequencing or proteomics experiments, High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination, Alternating projection method for sparse model updating problems, Lyapunov-type least-squares problems over symmetric cones, Covariance matrices associated to general moments of a random vector, An inexact spectral bundle method for convex quadratic semidefinite programming, Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection, Estimating standard errors in regular vine copula models, High-dimensional generation of Bernoulli random vectors, Linear quantile mixed models, A general self-adaptive relaxed-PPA method for convex programming with linear constraints, Simulation of Y-chromosomal haplotype data, Stochastic approximation on Riemannian manifolds, Multivariate elliptically contoured stable distributions: theory and estimation, A projected semismooth Newton method for problems of calibrating least squares covariance matrix, Identifiability and estimation of meta-elliptical copula generators, An inexact primal-dual path following algorithm for convex quadratic SDP, Positive semidefinite matrix completions on chordal graphs and constraint nondegeneracy in semidefinite programming, Fréchet regression for random objects with Euclidean predictors, On the efficient computation of a generalized Jacobian of the projector over the Birkhoff polytope, NORTA for portfolio credit risk, Goodness-of-fit test for tail copulas modeled by elliptical copulas, Matrix optimization over low-rank spectral sets: stationary points and local and global minimizers, sdpt3r, Accuracy of approximate projection to the semidefinite cone, Block relaxation and majorization methods for the nearest correlation matrix with factor structure, On the inexact scaled gradient projection method, Sparse kernel deep stacking networks, Geometric adaptive Monte Carlo in random environment, Development and evaluation of geostatistical methods for non-Euclidean-based spatial covariance matrices, Support vector machine classification with indefinite kernels, A sample covariance-based approach for spatial binary data, On the R-superlinear convergence of the KKT residuals generated by the augmented Lagrangian method for convex composite conic programming, A semidefinite programming approach for the projection onto the cone of negative semidefinite symmetric tensors with applications to solid mechanics, Goodness-of-fit tests for the family of multivariate chi-square copulas, Frequentist conditional variance for nonlinear mixed-effects models, A relaxed parameter condition for the primal-dual hybrid gradient method for saddle-point problem, Minimum rank (skew) Hermitian solutions to the matrix approximation problem in the spectral norm, Regularized reconstruction of a surface from its measured gradient field, Inverse Gaussian processes with correlated random effects for multivariate degradation modeling, PPA-like contraction methods for convex optimization: a framework using variational inequality approach, cCorrGAN: conditional correlation GAN for learning empirical conditional distributions in the elliptope
Uses Software
