Geometric optimisation algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show … nearest low-rank correlation matrix occurs as part of the calibration of multi-factor interest rate market models to … correlation. Keywords: geometric optimisation, correlation matrix, Rank, LIBOR market model …

correlation coeffcients (Spearman's ρ and Kendall's τ). We first investigate a set of suffcient conditions under which measurement …

In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r …