[R] matrix bending
jarrod.hadfield@imperial.ac.uk
jarrod.hadfield at imperial.ac.uk
Mon Dec 1 17:36:19 CET 2003
Dear All,
I was wondering whether any one knows of a matrix bending function in
R that can turn non-positive definite matrices into the nearest
positive definite matrix. I was hoping there would be something akin
to John Henshall's flbend program
(http://agbu.une.edu.au/~kmeyer/pdmatrix.html), which allows the
standard errors of the estimated matrix elements to be considered in
the bending process.
Thanks,
Jarrod.
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