Application of alternating projection method to ensure feasibility of shadowing cross-correlation models

A novel procedure based on the alternating projection method to adjust experimental shadowing cross-correlation (SCC) matrices is proposed. Given an SCC matrix derived from any experimental model, this procedure finds the nearest diagonalisable correlation matrix. This adjustment allows a proper simulation of shadowing samples, since it produces correlation matrices for which Cholesky factorisation is feasible. Simulation results using this procedure for three different SCC models are compared and discussed.