Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
From MaRDI portal
Publication:2805267
Recommendations
- scientific article; zbMATH DE number 6409310
- A criterion for the positive definiteness of a block-matrix and its application
- Norm-preserving dilation theorems for a block positive semidefinite (definite) matrix
- A parameterization of positive definite matrices in terms of partial correlation vines
- Block relaxation and majorization methods for the nearest correlation matrix with factor structure
- Positive definiteness of a class of the block symmetric matrix with parameters and its applications
- The restricted isometry property for random block diagonal matrices
- A determinantal inequality for correlation matrices
- A determinantal inequality for correlation matrices
- The eigenstructure of block-structured correlation matrices and its implications for principal component analysis
Cites work
- scientific article; zbMATH DE number 1049347 (Why is no real title available?)
- scientific article; zbMATH DE number 6125590 (Why is no real title available?)
- scientific article; zbMATH DE number 6159604 (Why is no real title available?)
- scientific article; zbMATH DE number 4189084 (Why is no real title available?)
- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
- A preconditioned Newton algorithm for the nearest correlation matrix
- Accuracy and Stability of Numerical Algorithms
- An Improved Arc Algorithm for Detecting Definite Hermitian Pairs
- An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem
- Analysis of the Cholesky method with iterative refinement for solving the symmetric definite generalized eigenproblem
- Computing a nearest symmetric positive semidefinite matrix
- Computing the nearest correlation matrix--a problem from finance
- Condition-Number-Regularized Covariance Estimation
- Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
- Finding a positive definite linear combination of two Hermitian matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Risk management: Value at risk and beyond
- Robust estimation and outlier detection with correlation coefficients
- Shrinkage Estimators for Covariance Matrices
Cited in
(13)- Positive definiteness via off-diagonal scaling of a symmetric indefinite matrix
- Subspace acceleration for the Crawford number and related eigenvalue optimization problems
- Conditioning theory of the equality constrained quadratic programming and its applications
- CORRELATION ESTIMATION IN HYBRID SYSTEMS
- Bootstraps regularize singular correlation matrices
- Bounds for the distance to the nearest correlation matrix
- Estimation of Positive Semidefinite Correlation Matrices by Using Convex Quadratic Semidefinite Programming
- An efficient numerical method for condition number constrained covariance matrix approximation
- Accuracy of approximate projection to the semidefinite cone
- Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints
- Actuarial risk matrices: the nearest positive semidefinite matrix problem
- Resolution of degeneracy in Merton's portfolio problem
- Identifiability and estimation of meta-elliptical copula generators
This page was built for publication: Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2805267)
