Search Results - subject:"nearest correlation matrix"

Efficient positive semidefinite matrix approximation by iterative optimisations and gradient descent method

Asimit, Vali; Wang, Runshi; Zhou, Feng; Rui, Zhu - In: Risks : open access journal 13 (2025) 2, pp. 1-25

We devise two algorithms for approximating solutions of PSDisation, a problem in actuarial science and finance, to find the nearest valid correlation matrix that is positive semidefinite (PSD). The first method converts the PSDisation problem with a positive semidefinite constraint and other...

Persistent link: https://www.econbiz.de/10015333751

Projected Dynamic Conditional Correlations

Llorens-Terrazas, Jordi; Brownlees, Christian - In: International journal of forecasting 39 (2023) 4, pp. 1761-1776

Persistent link: https://www.econbiz.de/10014465352

Adjoint differentiation for generic matrix functions

Goloubentsev, Andrei; Goloubentsev, Dmitri; Lakshtanov, … - In: The journal of computational finance 26 (2022) 2, pp. 101-112

Persistent link: https://www.econbiz.de/10013549660

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 …

Persistent link: https://www.econbiz.de/10005789841