The following Matlab project contains the source code and Matlab examples used for finding the nearest positive definite matrix .
This tool saves your covariance matrices, turning them into something that really does have the property you will need.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

## Project Files:

File Name | Size |
---|---|

license.txt | 1313 |

nearestSPD_demo.html | 15938 |

nearestSPD_demo.png | 7552 |

nearestSPD_demo_01.png | 7449 |

nearestSPD.m | 1609 |

nearestSPD_demo.m | 3891 |