[R-SIG-Finance] DLM and matrices with 0 eigenvalues

[Giovanni Petris]

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/