[ADMB Users] constrained correlation matrices

H. Skaug hskaug at gmail.com
Fri Nov 23 02:43:38 PST 2012

I have included the zero-constraint as part of a description of how
to parameterize covariance matrices.



On Thu, Nov 22, 2012 at 6:05 PM, dave fournier <davef at otter-rsch.com> wrote:
> 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
> constraints
> can be implemented using augmented Lagrangian methods.
> _______________________________________________
> Users mailing list
> Users at admb-project.org
> http://lists.admb-project.org/mailman/listinfo/users

More information about the Users mailing list