Correlation matrices

Explicit Solutions to Correlation Matrix Completion Problems, with
an Application to Risk Management and Insurance
(with D. I. Georgescu and G. W. Peter).
Roy. Soc. Open Sci., 5(3):111, 2018.
See the
blog
post about this work at the Bank of England's Bank
Underground blog.

Bounds for the Distance to the Nearest Correlation Matrix
(with Natasa Strabic),
SIAM J. Matrix Anal. Appl., 37(3):10881102, 2016.
MATLAB codes on GitHub.

Anderson Acceleration of the
Alternating Projections Method for Computing the Nearest Correlation Matrix
(with Natasa Strabic),
Numer. Alg., 72(4):10211042, 2016.
MATLAB Codes on
Github
and
MATLAB
Central File Exchange.

Restoring Definiteness via Shrinking, with an Application to
Correlation Matrices with a Fixed Block
(with Natasa Strabic
and Vedran Sego),
SIAM Review, 58(2):245263, 2016.
Codes on Github:
MATLAB,
Python.
The MATLAB codes are also available at
MATLAB
Central File Exchange.

Covariance Structure Regularization via Entropy Loss Function
(with Lijing Lin and
Jianxin Pan),
Comput. Statist. Data Anal., 72:315327, 2014.
Published version.

Computing a Nearest Correlation Matrix with Factor Structure (with
Rüdiger Borsdorf and Marcos Raydan),
SIAM J. Matrix Anal. Appl. 31 (5): 26032622, 2010.

A Preconditioned Newton Algorithm for the Nearest Correlation
Matrix (with Rüdiger Borsdorf),
IMA J. Numer. Anal. 30(1):94107, 2010.
Published version.
 Computing
the Nearest Correlation MatrixA Problem from Finance , IMA J. Numer.
Anal., 22(3):329343, 2002.
 Numerically
Stable Generation of Correlation Matrices and their Factors, (with
Philip I. Davies), BIT 40(4):640651, 2000.
Last modified: July 28, 2020 10:59:24 AM UTC.