Restoring Definiteness via Shrinking, with an Application to Correlation Matrices with a Fixed Block
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Publication:2805267
DOI10.1137/140996112zbMath1386.15062OpenAlexW1955055489WikidataQ56998627 ScholiaQ56998627MaRDI QIDQ2805267
Nataša Strabić, Vedran Šego, Nicholas J. Higham
Publication date: 10 May 2016
Published in: SIAM Review (Search for Journal in Brave)
Full work available at URL: http://eprints.maths.manchester.ac.uk/2470/1/hss16.pdf
covariance matrixNewton methodcorrelation matrixpositive semidefinite matrixbisection methodweightingindefinite matrixshrinkingsymmetric definite generalized eigenvalue problemfixed block
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