Dear All!
Is there any code to find a constrained correlation matrix closest in
some sense (preferably in the sense of the geometric approximation) to a
given correlation matrix? By constrained I mean with some elements
constrained, or, simply, set to zero. I have read in a paper that says
this can be accomplished with Lagrange multipliers and an optimization
routine.
Thanks a lot!
Serguei Kaniovski
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