Displaying 1 result from an estimated 1 matches for "eugenvalues".
Did you mean:
eigenvalues
2005 May 30
3
how to invert the matrix with quite small eigenvalues
Dear all,
I encounter some covariance matrix with quite small eigenvalues
(around 1e-18), which are smaller than the machine precision. The
dimension of my matrix is 17. Here I just fake some small matrix for
illustration.
a<-diag(c(rep(3,4),1e-18)) # a matrix with small eigenvalues
b<-matrix(1:25,ncol=5) # define b to get an orthogonal matrix
b<-b+t(b)
bb<-eigen(b,symmetric=T)