nag_nearest_correlation_shrinking (g02anc) Example Program Results
Symmetrised Input Matrix G
1 2 3 4 5
1 1.0000 -0.0991 0.5665 -0.5653 -0.3441
2 -0.0991 1.0000 -0.4273 0.8474 0.4975
3 0.5665 -0.4273 1.0000 -0.1837 -0.0585
4 -0.5653 0.8474 -0.1837 1.0000 -0.2713
5 -0.3441 0.4975 -0.0585 -0.2713 1.0000
Nearest Perturbed Correlation Matrix X
1 2 3 4 5
1 1.0000 -0.0991 0.5665 -0.3826 -0.2329
2 -0.0991 1.0000 -0.4273 0.5735 0.3367
3 0.5665 -0.4273 1.0000 -0.1243 -0.0396
4 -0.3826 0.5735 -0.1243 1.0000 -0.1836
5 -0.2329 0.3367 -0.0396 -0.1836 1.0000
k: 3
Number of iterations taken: 27
alpha: 0.3232
norm value: 0.5624
Smallest eigenvalue of A: 0.3359