Bounds for the Distance to the Nearest Correlation Matrix.

Nicholas J. Higham Natasa Strabic

Published in: SIAM J. Matrix Anal. Appl. (2016)

Keyphrases

correlation matrix
euclidean distance
covariance matrix
random matrix theory
distance measure
upper bound
singular value decomposition
signal subspace
nearest neighbor
lower bound
distance function
worst case
distance measurement
computational cost
principal component analysis
principal components