Archived publication
Archived publication
Rehabilitation of improper correlation matrices
4938/Frigessi_-_Rehabilitation_of_improper_correlation_matrices.pdf
January 29, 2009
SAMBA
- Filename: 4938/Frigessi_-_Rehabilitation_of_improper_correlation_matrices.pdf
- Areas: Finance, insurance and commodities
- Keywords: Bayesian inference, beta distribution, expert opinions, nearness problem, positive semidefinite matrix
- Page(s): 19
- Name and number of project: SFI02-Risk 220302
- Title: Rehabilitation of improper correlation matrices
- Author(s): Frigessi, Arnoldo; Løland, Anders; Pievatolo, Antonio; Ruggeri, Fabrizio
- Report number: SAMBA/03/09
- Published date: January 29, 2009