[R] nearest positive semidefinit toeplitz matrix

[juliane0212]

hHllo,

I'm looking for an algroithm to transform an existing toeplitz matrix
(autocorrelation matrix) to the nearest positive semidefinite toeplitz
matrix.

I  merely found an algorithm to transform an correlation matrix via the
function  nearcor() based on the algorithm of Higham.

But as I examined, it destroys the toeplitz structure of my underlying
matrix.

Does any function already exist in R, which deals with my problem?








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