Returns a positive semi-definite matrix close to a matrix.
Namespace: Extreme.StatisticsAssembly: Extreme.Numerics.Net40 (in Extreme.Numerics.Net40.dll) Version: 6.0.16073.0 (6.0.16312.0)
public static SymmetricMatrix NearestCorrelationMatrix(
SymmetricMatrix matrix,
NearestCorrelationMatrixAlgorithm algorithm
)
Public Shared Function NearestCorrelationMatrix (
matrix As SymmetricMatrix,
algorithm As NearestCorrelationMatrixAlgorithm
) As SymmetricMatrix
public:
static SymmetricMatrix^ NearestCorrelationMatrix(
SymmetricMatrix^ matrix,
NearestCorrelationMatrixAlgorithm algorithm
)
static member NearestCorrelationMatrix :
matrix : SymmetricMatrix *
algorithm : NearestCorrelationMatrixAlgorithm -> SymmetricMatrix
Parameters
- matrix
- Type: Extreme.Mathematics.LinearAlgebraSymmetricMatrix
A symmetric matrix. - algorithm
- Type: Extreme.StatisticsNearestCorrelationMatrixAlgorithm
Specifies the algorithm used to compute the matrix.
Return Value
Type:
SymmetricMatrixA symmetric matrix that is positive semi-definite.
If
matrix itself is positive semi-definite, it is returned unchanged.
This method uses a method by Rebonato and Jäckel (scaled projection) or the
alternating projections method of Nigham.
Numerical Libraries
Supported in: 5.x
Reference