A majorization algorithm for constrained correlation matrix approximation

DOI10.1016/j.laa.2009.10.025zbMath1183.65009MaRDI QIDQ847204

Dan Simon, Jeff Abell

Publication date: 12 February 2010

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://engagedscholarship.csuohio.edu/enece_facpub/139

zbMATH Keywords

algorithm; convergence; constrained optimization; numerical examples; majorization; correlation matrix

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

62P30: Applications of statistics in engineering and industry; control charts

80M30: Variational methods applied to problems in thermodynamics and heat transfer

Related Items

Calibrating low-rank correlation matrix problem: an SCA-based approach, A feasible method for optimization with orthogonality constraints, On the generalized low rank approximation of the correlation matrices arising in the asset portfolio

Uses Software

• Multivariate_Data_Generation

Cites Work

• Computing the nearest correlation matrix--a problem from finance
• Interest rate models -- theory and practice. With smile, inflation and credit
• Efficient rank reduction of correlation matrices
• Modern multidimensional scaling: theory and applications
• Optimal low-rank approximation to a correlation matrix
• Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
• REDUCED ORDER KALMAN FILTERING WITHOUT MODEL REDUCTION
• An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
• Rank reduction of correlation matrices by majorization
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