
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/thenearestcorrelationmatrix/


Coordinator
Dec 18, 2013 at 9:40 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



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!

