Non-Positive Definite Covariance Matrices Value-at-Risk.

for some small ε > 0 and I the identity matrix. Generally, ε can be selected small enough to have no material effect on calculated value-at-risk but large enough to make covariance matrix [] positive definite.
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Hessian matrix - Wikipedia In mathematics, the Hessian matrix or Hessian is a square matrix of second-order partial derivatives of a scalar-valued function, or scalar field.

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Glossary of research economics - econterms Box and Cox (1964) developed the transformation. Estimation of any Box-Cox parameters is by maximum likelihood. Box and Cox (1964) offered an example in which the data had the form of survival times but the underlying biological structure was of hazard rates, and the transformation identified this.

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Symmetric matrix - Wikipedia In linear algebra, a symmetric matrix is a square matrix that is equal to its transpose. Formally, matrix A is symmetric if A = A T. {\displaystyle A=A^{\mathrm {T} }.}

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