5.13 correct_correlation_matrix

Function File: [A_scaled pos_sem_def_bool] = correct_correlation_matrix(M)

Return a positive semi-definite matrix A_scaled to a given input matrix M. This function tests for indefiniteness of the input matrix and eventuallry adjusts negative Eivenvalues to 0 or slightly positive values via some iteration steps.
Reference: ’Implementing Value at Risk’, Best, Philip W., 1998.