search for: nearcor

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

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? -- View this message in context: http://r.789695.n4.nabble.com/nearest-positive-semidefinit-toeplitz-matrix...

hello all, i'm trying to use QPmat, from the popbio package. it appears to be based on solve.QP and is intended for making a population projection matrix. QPmat asks for: nout, A time series of population vectors and C, C constraint matrix, (with two more vectors, b and nonzero). i believe the relevant code from QPmat is: function (nout, C, b, nonzero) { if (!"quadprog" %in%

Hi all, For computational reasons, I need to estimate an 18x18 polychoric correlation matrix two variables at a time (rather than trying to estimate them all simultaneously using ML). The resulting polychoric correlation matrix I am getting is non-positive definite, which is problematic because I'm using this matrix later on as if it were a legitimately estimated correlation matrix (in order

Dear list, I am trying to use the 'mvrnorm' function from the MASS package for simulating multivariate Gaussian data with given covariance matrix. The diagonal elements of my covariance matrix should be the same, i.e., all variables have the same marginal variance. Also all correlations between all pair of variables should be identical, but could be any value in [-1,1]. The problem I am