A calibration method for non-positive definite covariance matrix in multivariate data analysis
(2017)
Journal Article
Huang, C., Farewell, D., & Pan, J. (2017). A calibration method for non-positive definite covariance matrix in multivariate data analysis. Journal of Multivariate Analysis, 157, 45-52. https://doi.org/10.1016/j.jmva.2017.03.001
Covariance matrices that fail to be positive definite arise often in covariance estimation. Approaches addressing this problem exist, but are not well supported theoretically. In this paper, we propose a unified statistical and numerical matrix calib... Read More about A calibration method for non-positive definite covariance matrix in multivariate data analysis.