Adjusting a Correlation Matrix

2000-07-06 Thread Christian A. Walter
Does anyone know if there is a structured way to adjust a negative definite matrix such that it becomes semi-definite, while "minimizing" the induced changes to the matrix? Cheers, Christian Sent via Deja.com http://www.deja.com/ Before you buy.

Re: Adjusting a Correlation Matrix

2000-07-06 Thread Rich Strauss
At 03:46 PM 7/6/00 +, Christian A. Walter wrote: Does anyone know if there is a structured way to adjust a negative definite matrix such that it becomes semi-definite, while "minimizing" the induced changes to the matrix? Cheers, Christian I posed a similar question to edstat last fall. I