search for: posdefify

...as replacements for anything I wrote where appropriate. Any apparent conflict is a result of his superior knowledge. 2. 'eigen' returns the eigenvalue decomposition assuming the matrix is symmetric, ignoring anything in m[upper.tri(m)]. 3. The basic idea behind both posdefify and nearPD is to compute the eigenenvalues and vectors, then replace any eigenvalues that are small or negative with some suitable small positive number and reconstruct the matrix from this modified eigenvalue decomposition. posdefify and nearPD implement modifications of this basic idea....

...*********************************** Important: We would draw your attention to the notices at the bottom of this e-mail, particularly before opening and reviewing any file attachment(s). ************************************************************ Martin, 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 r...

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

************************************************************ Important: We would draw your attention to the notices at the bottom of this e-mail, particularly before opening and reviewing any file attachment(s). ************************************************************ Here is some code we have used. a<-array(c(1,.9,.7,.9,1,.3,.7,.3,1),dim=c(3,3)) a s<-eigen(a)$vectors

I have a covariance matrix that is not positive semi-definite matrix and I need it to be via some sort of adjustment. Is there any R routine or package to help me do this? Thanks, Roger [[alternative HTML version deleted]]

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%

I apologise for not including a reproducible example with this query but I hope that I can make things clear without one. I am fitting some finite mixture models to data. Each mixture component has p parameters (p=29 in my application) and there are q components to the mixture. The number of data points is n ~ 1500. I need to select a good q and I have been considering model selection methods