hHllo,
I'm looking for an algroithm to transform an existing toeplitz matrix
(autocorrelation matrix) to the nearest positive semidefinite toeplitz
matrix.
I merely found an algorithm to transform an correlation matrix via the
function nearcor() based on the algorithm of Higham.
But as I examined, it destroys the toeplitz structure of my underlying
matrix.
Does any function already exist in R, which deals with my problem?
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