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..., Thank you for letting us know about posdefify. It does do exactly what the Rebonato paper recommended and gives the same result as our code, but it will be much better behaved in the wild than ours will. BTW Troels Ring [tring at gvdnet.dk] found the Rebonato paper at http://www.quarchome.com/correlationmatrix.pdf Thank you Troels. Best regards, Herb Herbert G. Desson, ACAS, MAAA Actuary JLT Risk Solutions 6 Crutched Friars London EC3N 2PH phone: +44 (0)20 7528 4702 fax: +44 (0)20 7558 3785 -----Original Message----- ************************************************************ JLT Risk S...

...used. a<-array(c(1,.9,.7,.9,1,.3,.7,.3,1),dim=c(3,3)) a s<-eigen(a)$vectors l<-diag(eigen(a)$values) l[l<0]<-0 b<-s%*%sqrt(l) for(i in 1:nrow(b)){b[i,]<-b[i,]/sqrt(sum(b[i,]^2))} ap<-b%*%t(b) ap It is based on a paper by Rebonato etal that formerly was at www.rebonato.com/correlationmatrix.pdf. Unfortunately the website has disappeared. Best regards, Herb Herbert G. Desson, ACAS, MAAA Actuary JLT Risk Solutions 6 Crutched Friars London EC3N 2PH phone: +44 (0)20 7528 4702 fax: +44 (0)20 7558 3785 >Message: 2 >Date: 12 Dec 2004 14:58:38 +0100 >From: Peter Dalga...

Dear all, I'm working on a data.frame named en.data, which has n cases and m columns. I generate the correlation matrix of en.data by > cor(en.data) I find that there is no p-value on each correlation in the correlation matrix. I searched in the R-help mail list and found some related posts, but I didn't find direct way to solve the problem. Someone said to use cor.test() or