[ADMB Users] constrained correlation matrices
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
> can be implemented using augmented Lagrangian methods.
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