Finding a similar valid correlation matrix

The function transforms a suggested matrix to a valid correlation matrix


Updated 4 Apr 2016

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Implementation of Nicholas J. Higham's algorithm "Computing the Nearest Correlation Matrix - A Problem from Finance", 2002.

Cite As

Erlend Ringstad (2023). Finding a similar valid correlation matrix (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes

Updated to add a BSD License.