adknudson / adknudson/NearestCorrelationMatrix.jl
Add support for fixed correlation values
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- Dominant language
- Julia
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- 2d 12h
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Description
Some correlation matrices require certain elements to be fixed. I believe the alternating projects algorithm supports this by simply setting the fixed elements to their original values after every projection. Not all algorithms must support this, and ones that do not should give the user a warning.
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