Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
DOI10.1137/140996112zbMATH Open1386.15062DBLPjournals/siamrev/HighamSS16OpenAlexW1955055489WikidataQ56998627 ScholiaQ56998627MaRDI QIDQ2805267FDOQ2805267
Authors: Nicholas J. Higham, Nataša Strabić, Vedran Šego 
Publication date: 10 May 2016
Published in: SIAM Review (Search for Journal in Brave)
Full work available at URL: http://eprints.maths.manchester.ac.uk/2470/1/hss16.pdf
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Cited In (13)
- Bootstraps regularize singular correlation matrices
- Subspace acceleration for the Crawford number and related eigenvalue optimization problems
- Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints
- An efficient numerical method for condition number constrained covariance matrix approximation
- Actuarial risk matrices: the nearest positive semidefinite matrix problem
- Resolution of degeneracy in Merton's portfolio problem
- Bounds for the distance to the nearest correlation matrix
- Positive definiteness via off-diagonal scaling of a symmetric indefinite matrix
- Identifiability and estimation of meta-elliptical copula generators
- Accuracy of approximate projection to the semidefinite cone
- Conditioning theory of the equality constrained quadratic programming and its applications
- CORRELATION ESTIMATION IN HYBRID SYSTEMS
- Estimation of Positive Semidefinite Correlation Matrices by Using Convex Quadratic Semidefinite Programming
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