Write r code for applying given method

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Reference no: EM131577888

STATISTICS/MATRIX ALGEBRA

In this uploaded paper - The description of the alternating projections method.

Write R code for applying this method in order to compute the nearest correlation matrix when a symmetric matrix is given(see paper for details).

In my case I don't want to use directly the "nearPD" function from R but I want to write my own simpler code without using so many constraints as the above function.

Project to sets S and U and to use the Dykstra correction(see paper).

Test the code to a simple real data set(for example a 8x8 matrix of stocks).

Attachment:- paper.pdf

Reference no: EM131577888

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len1577888

7/25/2017 2:38:38 AM

uploaded a paper in which there is the description of the alternating projections method. I want to write R code for applying this method in order to compute the nearest correlation matrix when a symmetric matrix is given(see paper for details). In my case I don't want to use directly the "nearPD" function from R but I want to write my own simpler code without using so many constraints as the above function. I want just to project to sets S and U and to use the Dykstra correction(see paper). Finally,I want to test the code to a simple real data set(for example a 8x8 matrix of stocks).

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