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Matrix Decomposition

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Matrix Decomposition

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03 May 2011 (Updated )

Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex

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Description

Matrix decomposition using, e.g. the Cholesky decomposition requires the correlation matrix to be positive definite. That is, the eigenvalues must all be positive. In finance, this is rarely the case, and one often observes negative eigenvalues, or zero eigenvalues. These two functions do essentially the same thing. One adjusts only the <= 0 eigenvalues, while the other adjusts those eigenvalues, but then also increases the other non-negative eigenvalues to compensate for the higher 'weight' given to the smaller eigenvalues.

Required Products Econometrics Toolbox
Financial Toolbox
Optimization Toolbox
Statistics Toolbox
MATLAB
MATLAB release MATLAB 7.12 (R2011a)
Other requirements The C programming code implementation is optimized for Intel 64-bit CPUs.
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Comments and Ratings (4)
12 Aug 2014 Lorenzo

Hi,

[Eig_Vec,~]=eig(Corr_Mat) this give me the following error:

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Error: Unbalanced or unexpected parenthesis or bracket.

But I cannot figure out why. Do you have any idea? Thanks

18 Nov 2012 Aleksander

The latest submission includes the function written in the C programming language, as well as a MEX implementation, thus providing significant speed and memory enhancements.

03 Nov 2012 Aleksander

Does the trick!

07 Jul 2011 Marco

Very useful and efficient functions. Thanks to the willing and gentle author for the prompt and clear help.

Updates
20 Jul 2011

Removed one function

05 Nov 2012

Updated description

05 Nov 2012

Added screenshot

19 Nov 2012

This update includes the program in C programming code, as well as a MEX implementation, providing potentially significant speed and memory handling enhancements.

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