[R] Property of cov(x) - matrix, some elements of x missing

Lukas Gudmundsson lukas.gudmundsson at gmail.com
Thu Dec 11 14:45:10 CET 2008

Dear List Members,

this question is not directly related to R but follows up a comment in
the documentation of 'cov'. In the case of missing values in the input
matrix 'x' there are various options specified via the parameter
'use'.  One of them being 'pairwise.complete.obs'. In the 'Details'
section it is mentioned that this may result in covariance matrices
that are not positive semi-definite. I assume that this is a well
known property, however I have not been successful in finding suitable
literature in explaining/documenting this phenomenon. If some one of
you could give me a hint i would be very grateful.

Best, Lukas

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