Journal of Nonlinear Mathematical Physics

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Volume 20, Issue 3, October 2013, Pages 431 - 439

On near and the nearest correlation matrix

Authors
Pasha Zusmanovich*
Department of Mathematics, Tallinn University of Technology, Ehitajate tee 5, Tallinn 19086, Estonia,pasha.zusmanovich@ttu.ee
*

Current address: Department of Mathematics and Physics, North Carolina Central University, 1801 Fayetteville St., Durham, NC 27707, USA

Received 9 April 2013, Accepted 30 August 2013, Available Online 6 January 2021.
DOI
10.1080/14029251.2013.855050How to use a DOI?
Keywords
Correlation matrix; positive definite matrix; matrix nearness problem; versal deformations of matrices
Abstract

We present an elementary heuristic reasoning based on Arnold's theory of versal deformations in support of a straightforward algorithm for finding a correlation matrix near a given symmetric one.

Copyright
© 2013 The Authors. Published by Atlantis Press and Taylor & Francis
Open Access
This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).

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Journal
Journal of Nonlinear Mathematical Physics
Volume-Issue
20 - 3
Pages
431 - 439
Publication Date
2021/01/06
ISSN (Online)
1776-0852
ISSN (Print)
1402-9251
DOI
10.1080/14029251.2013.855050How to use a DOI?
Copyright
© 2013 The Authors. Published by Atlantis Press and Taylor & Francis
Open Access
This is an open access article distributed under the CC BY-NC 4.0 license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - JOUR
AU  - Pasha Zusmanovich
PY  - 2021
DA  - 2021/01/06
TI  - On near and the nearest correlation matrix
JO  - Journal of Nonlinear Mathematical Physics
SP  - 431
EP  - 439
VL  - 20
IS  - 3
SN  - 1776-0852
UR  - https://doi.org/10.1080/14029251.2013.855050
DO  - 10.1080/14029251.2013.855050
ID  - Zusmanovich2021
ER  -