Computing a Nearest Correlation Matrix with Factor Structure - Borsdorf, Rüdiger; Higham, Nicholas J.; Raydan, Marcos (SIAM journal on matrix analysis and applications, 2010)
Keywords: Algebra; Correlation; Exact sciences and technology; Inference from stochastic processes; time series analysis; k factors; Linear and multilinear algebra, matrix theory; Mathematical analysis; Mathematical models; Mathematics; Matrices; Matrix methods; Nonlinearity; Numerical analysis; Numerical analysis. Scientific computation; Numerical linear algebra; Numerical methods in probability and statistics; Probability and statistics; Sciences and techniques of general use; Spectra; Statistics; spectral projected gradient method; Optimization method; Numerical method; Multivariate analysis; Computing; Convergence; Projection method; 90C30; Sequential method; 65F30; Newton method; Gradient method; Alternating direction method; alternating projections method; Spectral method; Factor model; alternating directions method; Correlation matrix; Frobenius norm; Time series; Covariance matrix; Quadratic programming; factor structure; Constrained optimization; Numerical analysis; Symmetric matrix; Linear algebra; Problem solving; Newton's method; Objective function; positive semidefinite matrix; principal factors method; Performance; patterned covariance matrix