eigenmeth: Make Matrix Positive Definite

View source: R/Correlations.R

eigenmethR Documentation

Make Matrix Positive Definite

Description

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

Usage

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 12, 2025, 1:15 a.m.