Hi,

If a matrix is not positive definite, make.positive.definite() function in
corpcor library finds the nearest positive definite matrix by the method
proposed by Higham (1988).

However, when I deal with correlation matrices whose diagonals have to be 1
by definition, how do I do it? The above-mentioned function seem to mess up
the diagonal entries. [I haven't seen this complication, but obviously all
entries must remain in (-1,1) range after conversion.]

Any R tools to handle this?

I'd appreciate any help.


-- 
Beyza Doganay

	[[alternative HTML version deleted]]

