Adjusting Correlation Matrix from Invalid to Valid

Version 1.1.0.0 (2.02 KB) by Kawee Numpacharoen
Algorithm for adjusting correlation coefficients back into their boundaries (validity).
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Updated 30 Sep 2013

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Based on the boundaries of correlation coefficients, we proposed another method for adjusting back the correlation matrix from invalid to valid by sequentially pulling correlation coefficients that stay outside the boundaries into the boundaries.

Cite As

Kawee Numpacharoen (2024). Adjusting Correlation Matrix from Invalid to Valid (https://www.mathworks.com/matlabcentral/fileexchange/43553-adjusting-correlation-matrix-from-invalid-to-valid), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.1.0.0

Bug fix
1.0.0.0