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corcra
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Posts: 3
Joined: July 9th, 2012, 7:11 am

Nearest Correlation Matrix-Hypersphere Decomposition

July 10th, 2012, 9:50 am

Hey!I was wondering if anyone on here has written code in R for hypersphere decomposition as a means of solving the nearest correlation matrix problem. It seems easy enough to find examples in Matlab but I haven't been able to find anything else...Thanks.
 
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acastaldo
Posts: 1416
Joined: October 11th, 2002, 11:24 pm

Nearest Correlation Matrix-Hypersphere Decomposition

July 12th, 2012, 1:10 pm

this reply may be off subject but there is a routine in R to solve the nearest correlation matrix using a different technique i.e.higham's method
 
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corcra
Topic Author
Posts: 3
Joined: July 9th, 2012, 7:11 am

Nearest Correlation Matrix-Hypersphere Decomposition

July 27th, 2012, 12:26 pm

Thank you both for your help. Unfortunately, I was looking for code for the HYSD method so that I can run a comparison of the different methods for improving correlation matrices. But I believe one of the functions in QuantLib uses this algorithm so I'll give that a whirl.
 
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ExSan
Posts: 4547
Joined: April 12th, 2003, 10:40 am

Nearest Correlation Matrix-Hypersphere Decomposition

February 10th, 2013, 10:42 am

some one else ?
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