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Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of-the-art in estimating large correlation matrices focuses ...
A. A. Albert, The Minimum Rank of a Correlation Matrix, Proceedings of the National Academy of Sciences of the United States of America, Vol. 30, No. 6 (Jun. 15, 1944), pp. 144-146 ...