A numerical procedure for finding the positive definite matrix closest to a patterned matrix

DOI10.1016/0167-7152(91)90006-DzbMath0850.62486OpenAlexW2078328129MaRDI QIDQ1186633

S. Singh

Publication date: 28 June 1992

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(91)90006-d

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Miscellaneous inequalities involving matrices (15A45) Probabilistic methods, stochastic differential equations (65C99)

Related Items (5)

A new error in variables model for solving positive definite linear system using orthogonal matrix decompositions ⋮ An iteration method to solve multiple constrained least squares problems ⋮ Unnamed Item ⋮ Positive definite constrained least-squares estimation of matrices ⋮ Dykstra's algorithm for constrained least-squares rectangular matrix problems

Uses Software

• NAG
• nag

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A generalized simplex for factor analysis
• Two testing problems relating the real and complex multivariate normal distributions
• Distribution of eigenvalues in multivariate statistical analysis
• Computing a nearest symmetric positive semidefinite matrix
• Analysis of evolution: evolutionary rates, independence and treeness
• Invariant normal models
• Testing and Estimation for a Circular Stationary Model

This page was built for publication: A numerical procedure for finding the positive definite matrix closest to a patterned matrix