[R] Positive semidefinite correlation Matrix

stephanmi1 at web.de stephanmi1 at web.de
Sun Feb 26 22:00:33 CET 2012


   Hello,
   I'm searching for a function that creates the nearest positive semidefinite
   correlation matrix.
   Up to now I was only able to find the function nearcor().
   Due to the fact, that a correlation matrix is only forced to be positive
   semidefinite,
   I prefer to find the nearest semidefinite one, and not the nearest positive
   definite correlation matrix like nearcor() is doing it.
   Is anyone aware of such a function?
   Thanks.
   With kind regards.
   Stephan

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References

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