finding nearest positive semi-definite correlation matrix

1
votes

Is there an R function or DLL that calculates a nearest positive semi-definite correlation matrix?

Finding the nearest positive semi-definite matrix is a well-documented common problem in portfolio construction.

NAGS includes a function but the library requires a license.

1
algorithmroptimizationmatrixcorrelation

1 Answers

2
votes

I think nearcor in the sfsmisc package uses the same algorithm as that NAG routine you link to.