Correlation matrices

• Explicit Solutions to Correlation Matrix Completion Problems, with an Application to Risk Management and Insurance (with D. I. Georgescu and G. W. Peter). Roy. Soc. Open Sci., 5(3):1-11, 2018. See the blog post about this work at the Bank of England's Bank Underground blog.
• Bounds for the Distance to the Nearest Correlation Matrix (with Natasa Strabic), SIAM J. Matrix Anal. Appl., 37(3):1088-1102, 2016. MATLAB codes on GitHub.
• Anderson Acceleration of the Alternating Projections Method for Computing the Nearest Correlation Matrix (with Natasa Strabic), Numer. Alg., 72(4):1021-1042, 2016. MATLAB Codes on Github and MATLAB Central File Exchange.
• Restoring Definiteness via Shrinking, with an Application to Correlation Matrices with a Fixed Block (with Natasa Strabic and Vedran Sego), SIAM Review, 58(2):245--263, 2016. Codes on Github: MATLAB, Python. The MATLAB codes are also available at MATLAB Central File Exchange.
• Covariance Structure Regularization via Entropy Loss Function (with Lijing Lin and Jianxin Pan), Comput. Statist. Data Anal., 72:315-327, 2014. Published version.
• Computing a Nearest Correlation Matrix with Factor Structure (with Rüdiger Borsdorf and Marcos Raydan), SIAM J. Matrix Anal. Appl. 31 (5): 2603-2622, 2010.
• A Preconditioned Newton Algorithm for the Nearest Correlation Matrix (with Rüdiger Borsdorf), IMA J. Numer. Anal. 30(1):94-107, 2010. Published version.
• Computing the Nearest Correlation Matrix---A Problem from Finance , IMA J. Numer. Anal., 22(3):329-343, 2002.
• Numerically Stable Generation of Correlation Matrices and their Factors, (with Philip I. Davies), BIT 40(4):640-651, 2000.