[R] non-positive definite matrix remedies?

Matthew Keller mckellercran at gmail.com
Wed Mar 11 23:20:27 CET 2009

Hi all,

For computational reasons, I need to estimate an 18x18 polychoric
correlation matrix two variables at a time (rather than trying to
estimate them all simultaneously using ML). The resulting polychoric
correlation matrix I am getting is non-positive definite, which is
problematic because I'm using this matrix later on as if it were a
legitimately estimated correlation matrix (in order to fit an SEM
model). I could add to the diagonal I suppose until it becomes
positive definite. Does anyone have any other ideas on how to deal
with this problem, and what the strengths and weaknesses of different
approaches are?

Thanks in advance,


Matthew C Keller
Asst. Professor of Psychology
University of Colorado at Boulder

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