Block relaxation and majorization methods for the nearest correlation matrix with factor structure
No abstract is available for this item.
Volume (Year): 50 (2011)
Issue (Month): 2 (October)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/math/journal/10589|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Raoul Pietersz & Patrick J. F. Groenen, 2005.
"Rank Reduction of Correlation Matrices by Majorization,"
- Raoul Pietersz & Patrick Groenen, 2004. "Rank reduction of correlation matrices by majorization," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 649-662.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:spr:coopap:v:50:y:2011:i:2:p:327-349. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.