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Transformation of non positive semidefinite correlation matrices
Authors:Peter J Rousseeuw  Geert Molenberghs
Institution:Department of Mathematics and Computer Science , Universitaire Installing Antwerpen , Universiteitsplein 1, Wilrijk, B-2610, Belgium
Abstract:In multivariate statistics, estimation of the covariance or correlation matrix is of crucial importance. Computational and other arguments often lead to the use of coordinate-dependent estimators, yielding matrices that are symmetric but not positive semidefinite. We briefly discuss existing methods, based on shrinking, for transforming such matrices into positive semidefinite matrices, A simple method based on eigenvalues is also considered. Taking into account the geometric structure of correlation matrices, a new method is proposed which uses techniques similar to those of multidimensional scaling.
Keywords:eigenvalue method  missing data  multidimensional scaling  multivariate probii model  robust correlations  shrinking
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