A majorization algorithm for constrained correlation matrix approximation

DOI10.1016/j.laa.2009.10.025zbMath1183.65009OpenAlexW1999959286MaRDI QIDQ847204

Jeff Abell, Dan Simon

Publication date: 12 February 2010

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://engagedscholarship.csuohio.edu/enece_facpub/139

zbMATH Keywords

algorithmconvergenceconstrained optimizationnumerical examplesmajorizationcorrelation matrix

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics in engineering and industry; control charts (62P30) Variational methods applied to problems in thermodynamics and heat transfer (80M30)

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Uses Software

• Multivariate_Data_Generation

Cites Work

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