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Nov 10

Nearest Correlation Matrix Code

Posted by abiao at 16:07 | Code » Matlab | Comments(1) | Reads(10932)
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 nearest correlation matrix in case you are interested @ http://www.math.nus.edu.sg/~matsundf/#Codes

Great page! I came across several useful stuff in which I’ve invested a lot of time searching for on other sorts of sites. I would advise it to every body.
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