Transformation of non positive semidefinite correlation matrices

From MaRDI portal
Publication:4275773

DOI10.1080/03610928308831068zbMath0800.62345OpenAlexW2103136547MaRDI QIDQ4275773

Geert Molenberghs, Peter J. Rousseeuw

Publication date: 31 January 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928308831068



Related Items

Constraint-based learning for non-parametric continuous Bayesian networks, CORRELATIONS BETWEEN INSURANCE LINES OF BUSINESS: AN ILLUSION OR A REAL PHENOMENON? SOME METHODOLOGICAL CONSIDERATIONS, Robust estimation of precision matrices under cellwise contamination, Canonical correlation for principal components of time series, Unnamed Item, Estimation of Positive Semidefinite Correlation Matrices by Using Convex Quadratic Semidefinite Programming, Nonlinearities and regimes in conditional correlations with different dynamics, Principal Components Analysis for Right Censored Data, Asymptotics of the two-stage spatial sign correlation, Robust and Sparse Estimation of the Inverse Covariance Matrix Using Rank Correlation Measures, An experimental investigation of kernels on graphs for collaborative recommendation and semisupervised classification, Detecting atypical observations in financial data: the forward search for elliptical copulas, Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects, A co-median approach to detect compositional outliers, Comparison of three semiparametric methods for estimating dependence parameters in copula models, Outlier detection for high dimensional data using the Comedian approach, Detection of block-exchangeable structure in large-scale correlation matrices, Inner product matrices, kriging, and nonparametric estimation of variogram, Generating random correlation matrices with fixed values: an application to the evaluation of multivariate surrogate endpoints, Highly robust estimation of dispersion matrices, Canonical correlation analysis for elliptical copulas, Jump robust two time scale covariance estimation and realized volatility budgets, Combining dissimilarity matrices by using rank correlations, Point estimation for multi-spectral distributed random matrices, Modelling dynamic portfolio risk using risk drivers of elliptical processes, Fast and robust bootstrap, On near and the nearest correlation matrix, Comparing unconstrained parametrization methods for return covariance matrix prediction, The t Copula and Related Copulas, A Multivariate Two-Sample Mean Test for Small Sample Size and Missing Data, Generating Correlation Matrices With Specified Eigenvalues Using the Method of Alternating Projections, On the impact of semidefinite positive correlation measures in portfolio theory, Managing single echelon inventories through demand aggregation and the feasibility of a correlation matrix



Cites Work