eigenmeth: Make Matrix Positive Definite

Description Usage Arguments Details Value

View source: R/Correlations.R

Description

The function adjusts a negative definite symmetric matrix to make it positive definite.

Usage

1
eigenmeth(mat, delta = 0.001)

Arguments

mat

matrix, a symmetric matrix

delta

numeric, new size of smallest eigenvalues

Details

See page 231 of QRM.

Value

a positive-definite matrix


QRM documentation built on April 14, 2020, 6:49 p.m.