nag_correg_corrmat_shrinking (g02anc) Example Program Results

 Symmetrised Input Matrix G
         1       2       3       4       5
 1   1.0000 -0.0991  0.5665 -0.5653 -0.3441
 2  -0.0991  1.0000 -0.4273  0.8474  0.4975
 3   0.5665 -0.4273  1.0000 -0.1837 -0.0585
 4  -0.5653  0.8474 -0.1837  1.0000 -0.2713
 5  -0.3441  0.4975 -0.0585 -0.2713  1.0000

 Nearest Perturbed Correlation Matrix X
         1       2       3       4       5
 1   1.0000 -0.0991  0.5665 -0.3826 -0.2329
 2  -0.0991  1.0000 -0.4273  0.5735  0.3367
 3   0.5665 -0.4273  1.0000 -0.1243 -0.0396
 4  -0.3826  0.5735 -0.1243  1.0000 -0.1836
 5  -0.2329  0.3367 -0.0396 -0.1836  1.0000

k:                                  3 

Number of iterations taken:        27 

alpha:                              0.3232 

norm value:                         0.5624 

Smallest eigenvalue of A:           0.3359