4 ms·

Thanks for mentioning that. It's a problem I occasionally need to solve and based on your comment, I found this helpful write up by Nick Higham [1]. [1] https:

• pvitz 2y ago
  In my case, I am applying this in the calibration of instantaneous correlation matrices. His relevant papers can be found at [0]. It was really helpful that he also published MATLAB code of most of his algorithms. [0] https://nhigham.com/correlation-matrices/ https://nhigham.com/correlation-matrices/