Functions of Matrices and Nearest Correlation Matrices - NAG

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References IIR. Borsdorf and N. J. Higham.A preconditioned Newton algorithm for the nearestcorrelation matrix.IMA J. Numer. Anal., 30(1):94–107, 2010.R. Borsdorf, N. J. Higham, and M. Raydan.Computing a nearest correlation matrix with factorstructure.SIAM J. Matrix Anal. Appl., 31(5):2603–2622, 2010.T. Charitos, P. R. de Waal, and L. C. van der Gaag.Computing short-interval transition matrices of adiscrete-time Markov chain from partially observeddata.Statistics in Medicine, 27:905–921, 2008.MIMS Nick Higham Matrix Functions 26 / 33
References IIIT. Crilly.Arthur Cayley: Mathematician Laureate of the VictorianAge.Johns Hopkins University Press, Baltimore, MD, USA,2006.ISBN 0-8018-8011-4.xxi+610 pp.P. I. Davies and N. J. Higham.A Schur–Parlett algorithm for computing matrixfunctions.SIAM J. Matrix Anal. Appl., 25(2):464–485, 2003.MIMS Nick Higham Matrix Functions 27 / 33
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