STATISTICS/MATRIX ALGEBRA
In this uploaded paper - The description of the alternating projections method.
Write R code for applying this method in order to compute the nearest correlation matrix when a symmetric matrix is given(see paper for details).
In my case I don't want to use directly the "nearPD" function from R but I want to write my own simpler code without using so many constraints as the above function.
Project to sets S and U and to use the Dykstra correction(see paper).
Test the code to a simple real data set(for example a 8x8 matrix of stocks).
Attachment:- paper.pdf