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.
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