An iterative algorithm to produce a positive definite correlation matrix from an approximate correlation matrix (with a program user's guide)
Ronald L. Iman, James M. Davenport · 1982
This report contains an explanation of an algorithm that, when executed, will operate on any symmetric approximate correlation matrix by iteratively adjusting the eigenvalues of this matrix. The objective of this algorithm is to produce a valid, positive definite, correlation matrix. Also a description of a program (called POSDEF) which implements the algorithm is given.