Compute the nearest correlation matrix

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Reference no: EM131594226

Write R code in order to apply the Quadratically Convergent Newton method in order to compute the nearest correlation matrix to an "approximate" correlation matrix(approximate means that it is not semi positive definite), using the method of Qi and Sun.

I found that this can be done using the g02aa function from NAG library but when i try to install the "NAGFWrappers" package I have an error that is not available in the R 3.4.1 version that I use.

Could you help with this problem using NAG library or anything else? I want to apply this method at the matrix(not semi positive definite) that I attached in order to obtain the nearest correlation matrix to it, in the Frobenius norm, as well as the distance between them.

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Reference no: EM131594226

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len1594226

8/8/2017 7:14:37 AM

I would like to write R code in order to apply the Quadratically Convergent Newton method in order to compute the nearest correlation matrix to an "approximate" correlation matrix(approximate means that it is not semi positive definite), using the method of Qi and Sun. I found that this can be done using the g02aa function from NAG library but when i try to install the "NAGFWrappers" package I have an error that is not available in the R 3.4.1 version that I use. Could you help with this problem using NAG library or anything else? I want to apply this method at the matrix(not semi positive definite) that I attached in order to obtain the nearest correlation matrix to it, in the Frobenius norm, as well as the distance between them.

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