[ADMB Users] constrained correlation matrices
davef at otter-rsch.com
Thu Nov 22 09:05:16 PST 2012
Well I came across a paper that was dealing with this problem but I
can't find it now.
More interesting is to extend the method to constraints like
rho_ij = .7
which I think can be done so long as the constraints are consistent.
As another approach I think that more or less arbitrary consistent
can be implemented using augmented Lagrangian methods.
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