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On near(est) correlation matrix
Correlation matrix positive semidefinite matrix matrix nearness problem versal deformations of matrices
2013/4/27
We present an elementary heuristic reasoning based on Arnold's theory of versal deformations in support of a straightforward algorithm for finding a correlation matrix near the given symmetric one.
A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
Correlated factors Inverse Wishart Markov chain Monte Carlo
2011/7/5
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation...