Salvaging a Linear Correlation Matrix

versión 1.0.0.0 (3.6 KB) por Ahmos Sansom
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods

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Actualizada 25 Jan 2010

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The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.

Use CorrelationExample.m that applies a simple example for the two cases.

Citar como

Ahmos Sansom (2022). Salvaging a Linear Correlation Matrix (https://www.mathworks.com/matlabcentral/fileexchange/26475-salvaging-a-linear-correlation-matrix), MATLAB Central File Exchange. Recuperado .

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Se creó con R2009a
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