higham/shrinking

MATLAB codes for restoring definiteness of a symmetric matrix by shrinking.

https://github.com/higham/shrinking

Version 1.0.0.0 (8.23 KB)
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17 Aug 2015

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A collection of MATLAB functions for repairing invalid (indefinite) covariance and correlation matrices, based on the paper
N. J. Higham, N. Strabić, and V. Šego, "Restoring Definiteness via Shrinking, with an Application to Correlation Matrices with a Fixed Block", MIMS EPrint 2014.54, Manchester Institute for Mathematical Sciences, The University of Manchester, UK, November 2014.

Cite As

Nick Higham (2026). higham/shrinking (https://github.com/higham/shrinking), GitHub. Retrieved .

Categories

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General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.0.0.0

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.