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rstandard
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