[ADMB Users] constrained correlation matrices
davef at otter-rsch.com
Wed Nov 21 11:34:20 PST 2012
I realized that it is possible to formulate constraint on a correlation
of the form
for some i,j as an unconstrained problem. To avoid degeneracy a
is added for each constraint. see the attached example code.
It also appears to provide a solution to this problem
if you start with the inverse of the correlation matrix instead.
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