Nov
10

## Nearest Correlation Matrix Code

Long ago I shared a post for nearest correlation matrix calculation, with the main aim to compute the nearest correlation matrix to an approximate correlation matrix when i.e. the correlation matrix is not positive semidefinite. However, the Matlab codes in that post requires a call of C++ function, specifically, eig_mex(), which brings a problem for some users.

Therefore I re-introduce a Matlab-only file for

Hot posts:

15 Incredibly Stupid Ways People Made Their Millions

Ino.com: Don't Join Marketclub until You Read This MarketClub Reviews

Online stock practice

World Changing Mathematical Discoveries

Value at Risk xls

Random posts:

Excellent Yahoo Finance Data Downloader

Liquidity and Asset Prices

Wall Street Drops right along with GDP Growth

Yield Curve Prediction Week in Review 150312

Happy New Year 2011

Therefore I re-introduce a Matlab-only file for

**nearest correlation matrix**in case you are interested @ http://www.math.nus.edu.sg/~matsundf/#Codes**People viewing this post also viewed:**

Hot posts:

Random posts:

clash of kings hack