开发者

finding nearest positive semi-definite correlation matrix

Is there an R function or DLL that calculates a nearest positive semi-definite correlation matrix?

Finding the nearest positive semi-definite matrix is a 开发者_运维问答well-documented common problem in portfolio construction.

NAGS includes a function but the library requires a license.


I think nearcor in the sfsmisc package uses the same algorithm as that NAG routine you link to.

0

上一篇:

下一篇:

精彩评论

暂无评论...
验证码 换一张
取 消

最新问答

问答排行榜