Block relaxation and majorization methods for the nearest correlation matrix with factor structure
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Volume (Year): 50 (2011)
Issue (Month): 2 (October)
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- Pietersz, R. & Groenen, P.J.F., 2004.
"Rank reduction of correlation matrices by majorization,"
Econometric Institute Research Papers
EI 2004-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Raoul Pietersz & Patrick Groenen, 2004. "Rank reduction of correlation matrices by majorization," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 649-662.
- Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, EconWPA.
- Kiers, Henk A. L., 2002. "Setting up alternating least squares and iterative majorization algorithms for solving various matrix optimization problems," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 157-170, November.
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