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Nearest Correlation Matrix

Dec 10, 2013 at 6:06 PM
Hello!

As my math background is not that strong, I would like to know if you have seen an implementation of a Nearest Correlation Matrix algorithm with Math.NET Numerics. I believe it is simple, but given my math weakness, I don't know how to do it. Do you have any idea?

Best Regards,
Rafael

Reference:
http://nickhigham.wordpress.com/2013/02/13/the-nearest-correlation-matrix/
Coordinator
Dec 18, 2013 at 8:40 AM
Hi Rafael,

No, unfortunately I have not seen any such implementation with Math.NET Numerics yet, although it is certainly possible to do. We may want to have a closer look at this after v3 has been released - or earlier if you'd like to try to have a go at it anyway.

Thanks,
Christoph
Dec 23, 2013 at 2:25 PM
Thank you!

I`ve trying to port some implementations from R to Math.NET Numerics, but I had no luck since eigenvectors/values are calculated slightly different in both platforms and the implementations I've seen are specific to the way R handles eigenvectors/values. I ended up exporting the matrix to R and getting back to Math.Net Numerics.

Once again, thanks!
Marked as answer by cdrnet on 12/30/2013 at 6:44 AM