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tp4667449p4667450
2013 May 19
1
Generate positive definite matrix with constraints
Hi, I have a question for my simulation problem:
I would like to generate a positive (or semi def positive) covariance
matrix, non singular, in wich the spectral decomposition returns me the same
values for all dimensions but differs only in eigenvectors.
Ex.
sigma
[,1] [,2]
[1,] 5.05 4.95
[2,] 4.95 5.05
> eigen(sigma)
$values
[1] 10.0 0.1
$vectors
[,1]