NearestCorrelationMatrixAlgorithm Enumeration

Enumerates the possible algorithms for computing the nearest correlation matrix.

Definition

Namespace: Extreme.Statistics
Assembly: Extreme.Numerics (in Extreme.Numerics.dll) Version: 8.1.23
C# 
public enum NearestCorrelationMatrixAlgorithm

Members

ScaledProjection0 Use a method that scales a projection onto positive definite matrices.
AlternatingProjections1 Use an iterative method that alternates between projecting on positive definite and unit diagonal matrices.

See Also