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validate_correlation_matrix

copula_core::utils

Function validate_correlation_matrix 

Source 
pub fn validate_correlation_matrix(matrix: &DMatrix<f64>) -> Result<()>
Expand description

Check if a matrix is a valid correlation matrix.

A valid correlation matrix must be:

  1. Square
  2. Symmetric
  3. Have unit diagonal
  4. Be positive semi-definite
  5. Have only finite entries

§Arguments

  • matrix - Matrix to validate

§Returns

Ok(()) if valid, error otherwise.