Optimal solution of the nearest correlation matrix problem by minimization of the maximum norm
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References listed on IDEAS
- Raoul Pietersz & Patrick Groenen, 2004.
"Rank reduction of correlation matrices by majorization,"
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.
- Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, EconWPA.
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- Sudhanshu K Mishra, 2013. "Global Optimization of Some Difficult Benchmark Functions by Host-Parasite Coevolutionary Algorithm," Economics Bulletin, AccessEcon, vol. 33(1), pages 1-18.
- Mishra, SK, 2007. "Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program," MPRA Paper 2000, University Library of Munich, Germany.
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KeywordsNearest correlation matrix problem; Frobenius norm; maximum norm; LMN correlation matrix; positive semidefinite; negative semidefinite; positive definite; random walk algorithm; Genetic algorithm; computer program; source codes; FORTRAN; simulation;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
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