The POSDadjOffDiag.lng Model


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Make minimal adjustments to an initial guessed (POSDadjOffDiag.lng) correlation matrix to make it a valid, Positive Semi-Definite matrix.
Application: If we have an incomplete data set, e.g., not every variable appears in every observation, we may be able to get estimates of every correlation term individually, however, taken together, the matrix may not be Positive Definite, a feature that should be true for any correlation or covariance matrix.
So for a correlation matrix, we would like to make minimal adjustmensts (move towards 0) of the off diagonal terms to make the matrix POSD;


Statistics | Correlation | Positive Definite | SDP | Covariance | Estimation | Nearest Correlation | POSD | Semi-Definite |