[R] non-positive definite matrix remedies?

[John Fox]

Dear Matt,

See the pd argument to the hetcor() function in the polycor package.
hetcor() makes use of nearcor() in the sfsmisc package to ensure that a
matrix of pairwise polychoric, polyserial, and Pearson correlations is
positive-definite.

I hope this helps,
 John

------------------------------
John Fox, Professor
Department of Sociology
McMaster University
Hamilton, Ontario, Canada
web: socserv.mcmaster.ca/jfox

> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On
> Behalf Of Matthew Keller
> Sent: March-11-09 6:20 PM
> To: r-help at r-project.org
> Subject: [R] non-positive definite matrix remedies?
> 
> 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,
> 
> Matt
> 
> 
> --
> Matthew C Keller
> Asst. Professor of Psychology
> University of Colorado at Boulder
> www.matthewckeller.com
> 
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