A Few Properties of Random Correlation Matrices and Their Nearest Correlation Matrices | by Rohan Kotwani | Jan, 2023
Generating Insights from the Solutions of a Particle Swarm Algorithm for Finding the Nearest Correlation MatrixBy AuthorThe purpose of this article is to evaluate the performance of two algorithms for finding the nearest positive semi-definite (PSD) correlation matrix. The first algorithm is a classical method, while the second is a brute force approach. This is relevant for data with high dimensions or missing values, as these types of data can often produce non-PSD matrices. The nearest PSD correlation matrix is useful…