Displaying 5 results from an estimated 5 matches for "higham".
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hicham
2010 Oct 21
4
how do I make a correlation matrix positive definite?
Hi,
If a matrix is not positive definite, make.positive.definite() function in corpcor library finds the nearest positive definite matrix by the method proposed by Higham (1988).
However, when I deal with correlation matrices whose diagonals have to be 1 by definition, how do I do it? The above-mentioned function seem to mess up the diagonal entries. [I haven't seen this complication, but obviously all entries must remain in (-1,1) range after conversion.]
An...
2006 Jun 14
1
matrix log
...s,
Has anyone implemented a "matrix log" function in R similar to the
function logm() in Matlab? I did a quick R site search and browsed the
contributed packages to no avail.
The octave function is far too simplistic and fails for the Matlab test
matrix. Ideally, the code of Cheng, Higham, and Laub (2001) or something
similar could be utilized. Just checking before I spend time porting
code.
cheers...
Brandon
Translational Medicine & Genetics
GlaxoSmithKline
[[alternative HTML version deleted]]
2010 May 23
1
need help in understanding R code, and maybe some math
Hi,
I am trying to implement Higham's algorithm for correcting a non positive
definite covariance matrix.
I found this code in R:
http://projects.cs.kent.ac.uk/projects/cxxr/trac/browser/trunk/src/library/Recommended/Matrix/R/nearPD.R?rev=637
I managed to understand most of it, the only line I really don't understand
is this...
2007 Jul 13
2
nearest correlation to polychoric
Dear all,
Has someone implemented in R (or any other language)
Knol DL, ten Berge JMF. Least-squares approximation of an improper correlation matrix by a proper one. Psychometrika, 1989, 54, 53-61.
or any other similar algorithm?
Best regards
Jens Oehlschl?gel
Background:
I want to factanal() matrices of polychoric correlations which have negative eigenvalue. I coded
Highham 2002
2012 Apr 26
0
nearest positive semidefinit toeplitz matrix
hHllo,
I'm looking for an algroithm to transform an existing toeplitz matrix
(autocorrelation matrix) to the nearest positive semidefinite toeplitz
matrix.
I merely found an algorithm to transform an correlation matrix via the
function nearcor() based on the algorithm of Higham.
But as I examined, it destroys the toeplitz structure of my underlying
matrix.
Does any function already exist in R, which deals with my problem?
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