[R] Need Advice on Matrix Not Positive Semi-Definite with cholesky decomposition
Gottlieb, Neil
ngottlieb at marinercapital.com
Wed Apr 1 15:56:39 CEST 2009
Dear fellow R Users:
I am doing a Cholesky decomposition on a correlation matrix and get error message
the matrix is not semi-definite.
Does anyone know:
1- a work around to this issue?
2- Is there any approach to try and figure out what vector might be co-linear with another in thr Matrix?
3- any way to perturb the data to work around this?
Thanks for any suggestions.
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