[R-SIG-Finance] DLM and matrices with 0 eigenvalues
Giovanni Petris
GPetris at uark.edu
Thu Feb 19 16:49:15 CET 2009
Hi Rebecca,
Are you using package dlm? If so, what are the functions that give you
an error? Could you provide a minimal working example, as required by
the posting guide?
Also, (1) please do not post to both R-help and R-SIG-Finance; (2)
questions about contributed packages should be addressed to the
package maintainer.
Best,
Giovanni
> Date: Thu, 19 Feb 2009 08:39:17 -0500 (EST)
> From: Rebecca Sela <rsela at stern.nyu.edu>
> Sender: r-sig-finance-bounces at stat.math.ethz.ch
> Precedence: list
>
> I am using DLM to fit a state space model. The covariance matrix of states (W) is given by:
> a 0 a 0
> 0 0 0 0
> a 0 a 0
> 0 0 0 0
> where a is a parameter to be estimated. Even though the matrix is positive semidefinite, sometimes DLM gives me an error that W is not a valid variance matrix. As far as I can tell, the reason is that one of R's computed eigenvalues is very slightly negative (something like -5E-17). Is there a way to work around this?
>
> Thanks!
>
> Rebecca
>
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--
Giovanni Petris <GPetris at uark.edu>
Associate Professor
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/
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