Computing the Nearest Correlation Matrix—A Problem from Finance Nicholas J. Higham[removed]MIMS EPrint: [removed]

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Date: 2006-06-01 12:02:18 Matrix theory Matrices Diagonal matrix Semidefinite programming Symmetric matrix Eigenvalues and eigenvectors Matrix Positive-definite matrix Eigendecomposition of a matrix Algebra Linear algebra Mathematics		Computing the Nearest Correlation Matrix—A Problem from Finance Nicholas J. Higham[removed]MIMS EPrint: [removed] Add to Reading List Source URL: eprints.ma.man.ac.uk Download Document from Source Website File Size: 272,67 KB Share Document on Facebook

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