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/math/journal/10589|
|Order Information:||Web: http://link.springer.de/orders.htm|
References listed on IDEAS
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.:
- 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.
- 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.
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: (Guenther Eichhorn)or (Christopher F Baum)
If references are entirely missing, you can add them using this form.