[R] positive semi-definite matrix

[Francisco J. Zagmutt]

Take a look at make.positive.definite in the corpcor package.  The 
implementation is very similar to what Duncan suggested.

Regards,

Francisco

Dr. Francisco J. Zagmutt
College of Veterinary Medicine and Biomedical Sciences
Colorado State University




>From: Duncan Murdoch <murdoch at stats.uwo.ca>
>To: roger bos <roger.bos at gmail.com>
>CC: RHelp <r-help at stat.math.ethz.ch>
>Subject: Re: [R] positive semi-definite matrix
>Date: Fri, 21 Jul 2006 09:44:42 -0400
>
>On 7/21/2006 8:59 AM, roger bos wrote:
> > I have a covariance matrix that is not positive semi-definite matrix and 
>I
> > need it to be via some sort of adjustment.  Is there any R routine or
> > package to help me do this?
>
>I think you need to be more specific about what have and what you want,
>but if the matrix is symmetric and nearly positive semi-definite (but
>not exactly because of rounding error), you might try something like
>
>fixit <- function(A) {
>    eig <- eigen(A, symmetric = TRUE)
>    eig$values <- pmax(0, eig$values)
>    return(eig$vectors %*% diag(eig$values) %*% t(eig$vectors))
>}
>
>Rounding error means this is not guaranteed to be positive
>semi-definite, but it will be very close.
>
>Duncan Murdoch
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide 
>http://www.R-project.org/posting-guide.html
>and provide commented, minimal, self-contained, reproducible code.