An efficient numerical method for condition number constrained covariance matrix approximation

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Highlights：

• All the main changes corresponding to the reviewers’ comments and concerns are highlighted with red.

摘要

•All the main changes corresponding to the reviewers’ comments and concerns are highlighted with red.

论文关键词：Covariance matrix,Condition number constraint,Singular value decomposition,High-dimensional data

论文评审过程：Received 14 July 2020, Revised 15 December 2020, Accepted 19 December 2020, Available online 9 January 2021, Version of Record 9 January 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2020.125925