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/
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/