Salvaging a Linear Correlation Matrix
Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods
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The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.
Use CorrelationExample.m that applies a simple example for the two cases.
Cite As
Ahmos Sansom (2026). Salvaging a Linear Correlation Matrix (https://ch.mathworks.com/matlabcentral/fileexchange/26475-salvaging-a-linear-correlation-matrix), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (3.6 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
