modify.cor.matrix {GWEX}

modify.cor.matrix

Description

Modify a non-positive definite correlation matrix in order to have a positive definite matrix

Usage

modify.cor.matrix(cor.matrix)

Arguments

cor.matrix

possibly non-positive definite correlation matrix

Value

positive definite correlation matrix

Author(s)

Guillaume Evin

References

Rousseeuw, P. J. and G. Molenberghs. 1993. Transformation of non positive semidefinite correlation matrices. Communications in Statistics: Theory and Methods 22(4):965-984.

Rebonato, R., & Jackel, P. (2000). The most general methodology to create a valid correlation matrix for risk management and option pricing purposes. J. Risk, 2(2), 17-26.