modify.cor.matrix: modify.cor.matrix
In guillaumeevin/GWEX: Multi-Site Stochastic Models for Daily Precipitation and Temperature
modify.cor.matrix R Documentation
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.
guillaumeevin/GWEX documentation built on Feb. 9, 2024, 3:22 a.m.
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| modify.cor.matrix | R Documentation |
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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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