Salvaging a Linear Correlation Matrix

Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods
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Aggiornato 25 gen 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.

Cita come

Ahmos Sansom (2024). Salvaging a Linear Correlation Matrix (https://www.mathworks.com/matlabcentral/fileexchange/26475-salvaging-a-linear-correlation-matrix), MATLAB Central File Exchange. Recuperato .

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Versione Pubblicato Note della release
1.0.0.0