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

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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:**

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