Correlation matrices

Bounds for the Distance to the Nearest Correlation Matrix
(with Natasa Strabic),
SIAM J. Matrix Anal. Appl., 37(3):10881102, 2016.
MATLAB codes on GitHub.

Anderson Acceleration of the
Alternating Projections Method for Computing the Nearest Correlation Matrix
(with Natasa Strabic),
Numer. Alg., 72(4):10211042, 2016.
MATLAB Codes on
Github
and
MATLAB
Central File Exchange.

Restoring Definiteness via Shrinking, with an Application to
Correlation Matrices with a Fixed Block
(with Natasa Strabic
and Vedran Sego),
SIAM Review, 58(2):245263, 2016.
Codes on Github:
MATLAB,
Python.
The MATLAB codes are also available at
MATLAB
Central File Exchange.

Covariance Structure Regularization via Entropy Loss Function
(with Lijing Lin and
Jianxin Pan),
Comput. Statist. Data Anal., 72:315327, 2014.
Published version.

Computing a Nearest Correlation Matrix with Factor Structure (with
Rüdiger Borsdorf and Marcos Raydan),
SIAM J. Matrix Anal. Appl. 31 (5): 26032622, 2010.

A Preconditioned Newton Algorithm for the Nearest Correlation
Matrix (with Rüdiger Borsdorf),
IMA J. Numer. Anal. 30(1):94107, 2010.
Published version.
 Computing
the Nearest Correlation MatrixA Problem from Finance , IMA J. Numer.
Anal., 22(3):329343, 2002.
 Numerically
Stable Generation of Correlation Matrices and their Factors, (with
Philip I. Davies), BIT 40(4):640651, 2000.
Last modified: June 27, 2017 8:11:39 AM UTC.