Finding a similar valid correlation matrix
The function transforms a suggested matrix to a valid correlation matrix
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Implementation of Nicholas J. Higham's algorithm "Computing the Nearest Correlation Matrix - A Problem from Finance", 2002.
http://eprints.ma.man.ac.uk/232/01/covered/MIMS_ep2006_70.pdf
Cite As
Erlend Ringstad (2026). Finding a similar valid correlation matrix (https://www.mathworks.com/matlabcentral/fileexchange/21486-finding-a-similar-valid-correlation-matrix), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (471 Bytes)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 | Updated to add a BSD License. |
