Nearest Correlation Matrix Algorithm Enumeration
Enumerates the possible algorithms for computing the nearest correlation matrix.
Definition
Namespace: Numerics.NET.Statistics
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 9.0.3
C#
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 9.0.3
public enum NearestCorrelationMatrixAlgorithm
Members
ScaledProjection | 0 | Use a method that scales a projection onto positive definite matrices. |
AlternatingProjections | 1 | Use an iterative method that alternates between projecting on positive definite and unit diagonal matrices. |