[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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