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How to obtain estimate of covariance matrix that will be guarantee to be semi-positive define ? (Is CrossValidated better place for this question ?)

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try this www.quarchome.org/correlationmatrix.pdf

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You should explain the information that you're linking to in your answer - if the link ever breaks, we don't want your answer to become useless. You can edit your answer to add more information. –  Zev Chonoles Jan 27 '13 at 21:49

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