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Robert McCrory

How do I find the nearest positive definite matrix to a correlation matrix?

Robert McCrory
Posted 10 years ago
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Has anyone developed Mathematica code to find the nearest positive definite matrix to a proposed correlation matrix?  An investment consultant has published his proposed correlation matrix, but it is not positive definite, and cannot be used for modeling.  There are a number of solutions in R and MatLab on the Web.  Is there a solution in Mathematica?

Thanks.
POSTED BY: Robert McCrory
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This post on the Mathematica StackExchange site has an example implementation of two popular methods due to R. Rebonato and P. Jäckel.
POSTED BY: Ilian Gachevski
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