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Finding a similar valid correlation matrix

Version 1.0.0.0 (471 Bytes) by Erlend Ringstad
The function transforms a suggested matrix to a valid correlation matrix
2.7
(3)

2.2K Downloads

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.
http://eprints.ma.man.ac.uk/232/01/covered/MIMS_ep2006_70.pdf

Cite As

Erlend Ringstad (2023). Finding a similar valid correlation matrix (https://www.mathworks.com/matlabcentral/fileexchange/21486-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
1.0.0.0

Updated to add a BSD License.