• Bokmål
  • English

Sitemap

Archived publication

Archived publication

Rehabilitation of improper correlation matrices

Frigessi, Arnoldo; Løland, Anders; Pievatolo, Antonio; Ruggeri, Fabrizio

January 29, 2009

SAMBA

  • Filename: 4938/Frigessi_-_Rehabilitation_of_improper_correlation_matrices.pdf
  • Areas: Finance, insurance and commodities
  • Keywords: Bayesian inference, beta distribution, expert opinions, nearness problem, positive semidefinite matrix
  • Page(s): 19
  • Name and number of project: SFI02-Risk 220302
  • Title: Rehabilitation of improper correlation matrices
  • Author(s): Frigessi, Arnoldo; Løland, Anders; Pievatolo, Antonio; Ruggeri, Fabrizio
  • Report number: SAMBA/03/09
  • Published date: January 29, 2009

 

For more information please search using the search box in the top right corner.

Postal address:
Norsk Regnesentral/
Norwegian Computing Center
P.O. Box 114 Blindern
NO-0314 Oslo
Norway
Visit address:
Norsk Regnesentral
Gaustadalleen 23a
Kristen Nygaards hus
NO-0373 Oslo.
Phone:
(+47) 22 85 25 00
Address How to get to NR
Social media Share on social media
Privacy policy Privacy policy
Postal address: Norsk Regnesentral/Norwegian Computing Center, P.O. Box 114 Blindern, NO-0314 Oslo, Norway
Visit address: Norsk Regnesentral, Gaustadalleen 23a, Kristen Nygaards hus, NO-0373 Oslo.
Phone: (+47) 22 85 25 00
AddressHow to get to NR