On near and the nearest correlation matrix

DOI10.1080/14029251.2013.855050MaRDI QIDQ5230903zbMATH OpenOpenAlexFDO

Authors Pasha Zusmanovich

Publication date 29 August 2019

Published in Journal of Nonlinear Mathematical Physics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1303.3226

zbMATH Keywords

correlation matrixmatrix nearness problempositive definite matrixversal deformations of matrices

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Canonical forms, reductions, classification (15A21) Positive matrices and their generalizations; cones of matrices (15B48) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to physics (62P35) Numerical computation of matrix norms, conditioning, scaling (65F35)

Abstract: We present an elementary heuristic reasoning based on Arnold's theory of versal deformations in support of a straightforward algorithm for finding a correlation matrix near a given symmetric one.

Cites work

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Cited in

(4)

• Computing the nearest correlation matrix--a problem from finance
• Alternative gradient algorithms for computing the nearest correlation matrix
• A note on adjusting correlation matrices
• scientific article; zbMATH DE number 7289878 (Why is no real title available?)

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