Re: Sqrt of large correlation matrix

Posted by ian_dfw on Aug 01, 2016; 1:22pm
URL: http://quantlib.414.s1.nabble.com/Sqrt-of-large-correlation-matrix-tp17596p17630.html

Thanks for your comment. Reason I was doing x4000 issues is that we are trying to do Monte Carlo simulation on most of traded issues.  Potentially the number would be much larger than 4000.  For the rank reduction, I tried 0.95 but not much improvement.
So right now I am thinking some dimension reduction like PCA.