Salvaging a Linear Correlation Matrix

Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods


Updated 25 Jan 2010

View License

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.

Cite As

Ahmos Sansom (2023). Salvaging a Linear Correlation Matrix (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Find more on Statistics and Machine Learning Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes