[R] nearest positive semidefinit toeplitz matrix

juliane0212 stephanmi1 at web.de
Thu Apr 26 15:18:08 CEST 2012


I'm looking for an algroithm to transform an existing toeplitz matrix
(autocorrelation matrix) to the nearest positive semidefinite toeplitz

I  merely found an algorithm to transform an correlation matrix via the
function  nearcor() based on the algorithm of Higham.

But as I examined, it destroys the toeplitz structure of my underlying

Does any function already exist in R, which deals with my problem?

View this message in context: http://r.789695.n4.nabble.com/nearest-positive-semidefinit-toeplitz-matrix-tp4589784p4589784.html
Sent from the R help mailing list archive at Nabble.com.

More information about the R-help mailing list