psdcor | R Documentation |
Correct pseudo-correlation matrices to make them positive semidefinite ones.
psdcor(m, method = c("higham", "eigen"), ...)
m |
pseudo-correlation matrix to correct. |
method |
optionally, correction method to use. |
... |
potentially further arguments for the particular correction method. |
This function applies transformation to the given matrix in order to make it positive semidefinite correlation matrix.
When method is higham
, use Higham projections algorithm via nearPD()
function.
When method is eigen
, use direct eigenvalues correction via posdefify()
function.
The corrected matrix.
Paul Smirnov <s.paul@mail.ru>
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