Major, MajorW and MajorPower
Raoul Pietersz, Patrick J. F. Groenen
Major, MajorW and MajorPower are MATLAB templates that may be used to find a low-rank correlation matrix locally nearest to a given correlation matrix, by means of majorization. Major implements equal weights on the entries of the correlation matrix. MajorW implements non-constant weights. To use MajorW, add the files in MajorW to the Major package. MajorPower implements the power method for calculating the largest eigenvalue. To use MajorPower, add the files in MajorPower to the Major package.
Click here to download Major
Click here to download MajorW
Click here to download MajorPower