"Computing a Nearest Correlation Matrix with Factor Structure."

Rüdiger Borsdorf, Nicholas J. Higham, Marcos Raydan (2010)

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DOI: 10.1137/090776718

access: closed

type: Journal Article

metadata version: 2020-05-26

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Rüdiger Borsdorf, Nicholas J. Higham, Marcos Raydan:
Computing a Nearest Correlation Matrix with Factor Structure. SIAM J. Matrix Anal. Appl. 31(5): 2603-2622 (2010)

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