nag_nearest_correlation_h_weight (g02ajc) Example Program Results

 Returned h Matrix
         1       2       3       4
 1   0.0000  1.0000  0.0000  0.0000
 2   1.0000  0.0000  0.1500  0.1500
 3   0.0000  0.1500  0.0000  0.0000
 4   0.0000  0.1500  0.0000  0.0000

 Nearest Correlation Matrix x
              1            2            3            4
 1    1.0000e+00  -9.2285e-01   7.7335e-01   2.5854e-03
 2   -9.2285e-01   1.0000e+00  -7.8433e-01  -8.4891e-07
 3    7.7335e-01  -7.8433e-01   1.0000e+00  -6.1477e-02
 4    2.5854e-03  -8.4891e-07  -6.1477e-02   1.0000e+00

Number of iterations:          66 

Norm value:                     0.1183 

alpha:                          0.0400 

 Eigenvalues of x
            1          2          3          4
 1      0.0769     0.2637     1.0031     2.6563