[R] Need Advice on Matrix Not Positive Semi-Definite with cholesky decomposition

[stenka1 at go.com]

   Neil,
   pls  tell why do you need the correlation matrix? if you are trying to
   simulate correlated variables then you can go around the cholesky by using
   svd.
   if you really need the correlation ( I think it is always possible to avoid
   it  )  then Rmetrics have a function to turn your matrix into positive
   semi-definite.
   you can also consider a factor model which will reduce the dimensionality
   tremendously.
   Stephen C. Bond

   On Apr 1, 2009, ngottlieb at marinercapital.com wrote:

     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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