R help - Nov 2009 - Error "system is computationally singular" by using function dmvnorm

Dear R users,
i try to use function dmvnorm(x, mean, sigma, log=FALSE)
from R package mvtnorm to calculate the probability of x
under the multivariate normal distribution with mean equal
to mean and covariance matrix sigma.
I become the following 
Error in solve.default(cov, ...) :
  system is computationally singular: reciprocal condition
number = 1.81093e-19

What could be the reason of it?
Thank you in Advance,
Alla.

It means that your covariance matrix "sigma" is numerically singular.

Ravi.
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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:
http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h
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-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On
Behalf Of Alla Bulashevska
Sent: Wednesday, November 18, 2009 9:11 AM
To: r-help at r-project.org
Subject: [R] Error "system is computationally singular" by using
function
dmvnorm


Dear R users,
i try to use function dmvnorm(x, mean, sigma, log=FALSE)
from R package mvtnorm to calculate the probability of x
under the multivariate normal distribution with mean equal
to mean and covariance matrix sigma.
I become the following 
Error in solve.default(cov, ...) :
  system is computationally singular: reciprocal condition
number = 1.81093e-19

What could be the reason of it?
Thank you in Advance,
Alla.

______________________________________________
R-help at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Alla Bulashevska wrote:
> Dear R users,
> i try to use function dmvnorm(x, mean, sigma, log=FALSE)
> from R package mvtnorm to calculate the probability of x
> under the multivariate normal distribution with mean equal
> to mean and covariance matrix sigma.
> I become the following 
> Error in solve.default(cov, ...) :
>   system is computationally singular: reciprocal condition
> number = 1.81093e-19

Probably your sigma is almost singular and can't be inverted in the 
calculation of the Mahalanobis distance.

Uwe Ligges



> 
> What could be the reason of it?
> Thank you in Advance,
> Alla.
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.