Correcting Non Positive Definite Correlation Matrices

Title

Correcting Non Positive Definite Correlation Matrices

Author

Maree, S.C.

Contributor

Oosterlee, C.W. (mentor)
Grzelak, L.A. (mentor)

Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Applied mathematics

Date

2012-06-22

Subject

positive definite
correlation matrix
Cholesky decomposition

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http://resolver.tudelft.nl/uuid:2175c274-ab03-4fd5-85a9-228fe421cdbf

Embargo date

2014-06-06

Part of collection

Student theses

Document type

bachelor thesis

Rights

(c) 2012 Maree, S.C.