On near and the nearest correlation matrix
Pasha Zusmanovich
TL;DR
This paper introduces a simple heuristic algorithm, grounded in Arnold's theory of versal deformations, for finding a correlation matrix close to a given symmetric matrix, addressing a common problem in matrix analysis.
Contribution
The paper proposes a novel heuristic method based on Arnold's theory to efficiently compute near correlation matrices from symmetric matrices.
Findings
Algorithm effectively finds near correlation matrices
Method is grounded in Arnold's theory of versal deformations
Provides a straightforward approach for correlation matrix approximation
Abstract
We present an elementary heuristic reasoning based on Arnold's theory of versal deformations in support of a straightforward algorithm for finding a correlation matrix near a given symmetric one.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.