image thumbnail

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

2.2K Downloads

Updated 04 Apr 2016

View License

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 (2021). 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
Categories

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!