On near and the nearest correlation matrix

DOI10.1080/14029251.2013.855050zbMath1426.62177arXiv1303.3226OpenAlexW2076728983MaRDI QIDQ5230903

Pasha Zusmanovich

Publication date: 29 August 2019

Published in: Journal of Nonlinear Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.3226

zbMATH Keywords

positive definite matrixcorrelation matrixmatrix nearness problemversal deformations of matrices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Eigenvalues, singular values, and eigenvectors (15A18) Positive matrices and their generalizations; cones of matrices (15B48) Applications of statistics to physics (62P35) Numerical computation of matrix norms, conditioning, scaling (65F35) Canonical forms, reductions, classification (15A21)

Cites Work

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• An application of the nearest correlation matrix on web document classification
• Versal deformations of elements of classical Jordan algebras
• Transformation of non positive semidefinite correlation matrices
• New Methods for Handling Singular Sample Covariance Matrices
• A preconditioned Newton algorithm for the nearest correlation matrix
• ON MATRICES DEPENDING ON PARAMETERS
• Matrix Algebra
• Transformation to versal deformations of matrices

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