Completing a Correlation Matrix: Another Problem from Finance
Roman R.
The previous post of this series on mathematical problems related to correlation matrices introduced the nearest correlation matrix problem1, which consists in determining the closest2 valid correlation matrix to an approximate correlation matrix In this blog post, I will now describe the correlation matrix completion problem, which consist in filling in the missing coefficients of a partially specified correlation matrix in order to produce a valid correlation matrix. As noted in Dreyer et al.3