[R] computationally singular

[Weiwei Shi]

I think the problem might be caused two variables are very correlated.
Should I check the cov matrix and try to delete some?
But i am just not quite sure of your reply. Could you detail it with some steps?

thanks,

weiwei

On 8/8/05, Christian Hennig <chrish at stats.ucl.ac.uk> wrote:
> Once I had a situation where the reason was that the variables were
> scaled to extremely different magnitudes. 1e-25 is a *very* small number
> but still there is some probability that it may help to look up standard
> deviations and to multiply the
> variable with the smallest st.dev. with 1e20 or something.
> 
> Best,
> Christian
> 
> On Mon, 8 Aug 2005, Weiwei Shi wrote:
> 
> > Hi,
> > I have a dataset which has around 138 variables and 30,000 cases. I am
> > trying to calculate a mahalanobis distance matrix for them and my
> > procedure is like this:
> >
> > Suppose my data is stored in mymatrix
> > > S<-cov(mymatrix) # this is fine
> > > D<-sapply(1:nrow(mymatrix), function(i) mahalanobis(mymatrix, mymatrix[i,], S))
> > Error in solve.default(cov, ...) : system is computationally singular:
> > reciprocal condition number = 1.09501e-25
> >
> > I understand the error message but I don't know how to trace down
> > which variables caused this so that I can "sacrifice" them if there
> > are not a lot. Again, not sure if it is due to some variables and not
> > sure if dropping variables is a good idea either.
> >
> > Thanks for help,
> >
> > weiwei
> >
> >
> > --
> > Weiwei Shi, Ph.D
> >
> > "Did you always know?"
> > "No, I did not. But I believed..."
> > ---Matrix III
> >
> > ______________________________________________
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> >
> 
> *** NEW ADDRESS! ***
> Christian Hennig
> University College London, Department of Statistical Science
> Gower St., London WC1E 6BT, phone +44 207 679 1698
> chrish at stats.ucl.ac.uk, www.homepages.ucl.ac.uk/~ucakche
> 


-- 
Weiwei Shi, Ph.D

"Did you always know?"
"No, I did not. But I believed..."
---Matrix III