Robust methodology for improving the conditionedness of correlation matrices

A robust methodology for improving the conditionedness of correlation matri ces is proposed. The method makes it possible to eliminate the effect of os cillations in the noise characteristics on the error of the matrix elements and to balance the relative errors in the matrix elements. Through the use of robust estimators thus obtained it becomes possible to transform the in itial matrix so that it assumes the form of a matrix whose elements do not contain noise errors by means of the technique of balancing the relative er rors.