[ADMB Users] constrained correlation matrices
davef at otter-rsch.com
Fri Nov 23 10:32:54 PST 2012
On 12-11-23 02:43 AM, H. Skaug wrote:
For the correlation matrix parameterization think you should start with
use ++k instead of k++.
> 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.
>> Users mailing list
>> Users at admb-project.org
More information about the Users