On near and the nearest correlation matrix
Applications
2014-01-14 v2 Rings and Algebras
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.
Cite
@article{arxiv.1303.3226,
title = {On near and the nearest correlation matrix},
author = {Pasha Zusmanovich},
journal= {arXiv preprint arXiv:1303.3226},
year = {2014}
}
Comments
v2: added example; updated references