Correcting Non Positive Definite Correlation Matrices

Bachelor thesis (2012)

Authors

Contributors

C.W. Oosterlee (mentor)
L.A. Grzelak (mentor)
Department
Applied mathematics (EEMCS) (TU Delft)
Copyright: © 2012 Maree, S.C.
Cholesky decomposition Positive definite Correlation matrix
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Published Date

22-06-2012

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Applied mathematics