Title :
An Approximation Method of Positive Semi-definite Matrix Based on Weighted F-norm
Author :
Guan Qiong ; Fang Jian-bin ; Chen Zheng-xu ; Tao Jun
Author_Institution :
Sch. of Inf. & Commun. Eng, Hunan Inst. of Sci. & Technol., Yueyang, China
Abstract :
Positive is the important hypotheses of many financial forecasting models, but the correlation coefficient matrix we get from actual samples are not always positive. Firstly, we introduced how to set correlation coefficient matrix according to the sample, and introduced the theory of norm approximation, based on which we find the proximal correlation coefficient matrix, namely unit diagonal positive semi-definite symmetric matrix. Finally, the validity of method in this paper has been proved in practical experiment.
Keywords :
approximation theory; correlation methods; covariance matrices; forecasting theory; investment; approximation method; financial forecasting models; norm approximation theory; portfolio covariance matrix positive definite matrix; proximal correlation coefficient matrix; unit diagonal positive semidefinite symmetric matrix; weighted f-norm; Approximation algorithms; Approximation methods; Correlation; Covariance matrix; Educational institutions; Symmetric matrices; Correlation coefficient matrix; Covariance matrix; F-norm; Matrix approximation;
Conference_Titel :
Industrial Control and Electronics Engineering (ICICEE), 2012 International Conference on
Conference_Location :
Xi´an
Print_ISBN :
978-1-4673-1450-3
DOI :
10.1109/ICICEE.2012.369
