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FORTRAN
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Frobenius norm
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Genetic algorithm
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LMN correlation matrix
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Nearest correlation matrix problem
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computer program
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maximum norm
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negative semidefinite
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positive definite
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positive semidefinite
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random walk algorithm
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simulation
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Mishra, SK
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Optimal solution of the
nearest
correlation
matrix
problem
by minimization of the maximum norm
Mishra, SK
-
Volkswirtschaftliche Fakultät, …
-
2004
The
nearest
correlation
matrix
problem
is to find a valid (positive semidefinite) correlation matrix, R(m,m), that is …
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