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Block relaxation and majorization methods for the nearest correlation matrix with factor structure

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  • Qingna Li
  • Houduo Qi
  • Naihua Xiu

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  • Qingna Li & Houduo Qi & Naihua Xiu, 2011. "Block relaxation and majorization methods for the nearest correlation matrix with factor structure," Computational Optimization and Applications, Springer, vol. 50(2), pages 327-349, October.
    • Handle: RePEc:spr:coopap:v:50:y:2011:i:2:p:327-349
    DOI: 10.1007/s10589-010-9374-y
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    References listed on IDEAS

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    1. Raoul Pietersz & Patrick Groenen, 2004. "Rank reduction of correlation matrices by majorization," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 649-662.
    2. Kiers, Henk A. L., 2002. "Setting up alternating least squares and iterative majorization algorithms for solving various matrix optimization problems," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 157-170, November.
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