Salvaging a Linear Correlation Matrix

版本 1.0.0.0 (3.6 KB) 作者: Ahmos Sansom
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods
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更新时间 2010/1/25

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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.

引用格式

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

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版本 已发布 发行说明
1.0.0.0