Nearest valid correlation matrix In some applications (e.g., building data models from only partially observed data) one wants to find the "nearest" correlation matrix to an "approximate" correlation matrix (e.g., a matrix which typically lacks semi-definite positiveness due to the way it has been computed).
Nearest valid correlation matrix In some applications (e.g. building data models from only partially observed data) one wants to find the "nearest" correlation matrix to an "approximate" correlation matrix (eg. a matrix which typically lacks semi-definite positiveness due to the way it has been computed).