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

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 (2024). 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
Find more on Linear Algebra in Help Center and MATLAB Answers

Community Treasure Hunt

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

Start Hunting!

Version Published Release Notes
1.0.0.0

Updated to add a BSD License.