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higham/shrinking

version 1.0.0.0 (9.36 KB) by Nick Higham
MATLAB codes for restoring definiteness of a symmetric matrix by shrinking.

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Updated 17 Aug 2015

GitHub view license on GitHub

A collection of MATLAB functions for repairing invalid (indefinite) covariance and correlation matrices, based on the paper
N. J. Higham, N. Strabić, and V. Šego, "Restoring Definiteness via Shrinking, with an Application to Correlation Matrices with a Fixed Block", MIMS EPrint 2014.54, Manchester Institute for Mathematical Sciences, The University of Manchester, UK, November 2014.

Cite As

Nick Higham (2020). higham/shrinking (https://github.com/higham/shrinking), GitHub. Retrieved .

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MATLAB Release Compatibility
Created with R2014b
Compatible with any release
Platform Compatibility
Windows macOS Linux