Bounds for the Distance to the Nearest Correlation Matrix
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Publication:2818268
DOI10.1137/15M1052007zbMath1347.65075WikidataQ56998621 ScholiaQ56998621MaRDI QIDQ2818268
Nataša Strabić, Nicholas J. Higham
Publication date: 7 September 2016
Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)
correlation matrixpositive semidefinite matrixindefinite matrixshrinkingdistance to the nearest correlation matrixmodified Cholesky factorization
Measures of association (correlation, canonical correlation, etc.) (62H20) Positive matrices and their generalizations; cones of matrices (15B48)
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Cites Work
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