nag_nearest_correlation_h_weight (g02ajc) Example Program Results

 Returned h Matrix
         1       2       3       4
 1   0.0000  1.0000  0.0000  0.0000
 2   1.0000  0.0000  0.1500  0.1500
 3   0.0000  0.1500  0.0000  0.0000
 4   0.0000  0.1500  0.0000  0.0000

 Nearest Correlation Matrix x
              1            2            3            4
 1    1.0000e+00  -9.6000e-01   9.5999e-01  -3.4656e-04
 2   -9.6000e-01   1.0000e+00  -9.5999e-01   2.9968e-04
 3    9.5999e-01  -9.5999e-01   1.0000e+00  -4.1294e-03
 4   -3.4656e-04   2.9968e-04  -4.1294e-03   1.0000e+00

Number of iterations:          74 

Norm value:                     0.0572 

alpha:                          0.0400 

 Eigenvalues of x
            1          2          3          4
 1      0.0400     0.0400     1.0000     2.9200