[R] Need Advice on Matrix Not Positive Semi-Definite with cholesky decomposition

[Ravi Varadhan]

Look at the nearPD() function in the package "Matrix".

	require(Matrix)
	?nearPD

In particular, pay attention to the arguments "eig.tol" and "posd.tol",
which you can tweak to define how much "positiveness" you would like to
have.

Ravi. 


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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Gottlieb, Neil
Sent: Wednesday, April 01, 2009 9:57 AM
To: 'r-help at r-project.org'
Subject: [R] Need Advice on Matrix Not Positive Semi-Definite with cholesky
decomposition

Dear fellow R Users:

I am doing a Cholesky decomposition on a correlation matrix and get error
message the matrix is not semi-definite.

Does anyone know: 
1- a work around to this issue?
2- Is there any approach to try and figure out what vector might be
co-linear with another in thr Matrix?
3- any way to perturb the data to work around this?

Thanks for any suggestions.
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