psdcor: Positive Semidefinite Correlation Matrix Correction

In robcor: Robust Correlations

Positive Semidefinite Correlation Matrix Correction

Description

Correct pseudo-correlation matrices to make them positive semidefinite ones.

Usage

psdcor(m, method = c("higham", "eigen"), ...)

Arguments

m	pseudo-correlation matrix to correct.
method	optionally, correction method to use.
...	potentially further arguments for the particular correction method.

Details

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.

Value

The corrected matrix.

Author(s)

Paul Smirnov <[e-mail]>

robcor documentation built on June 27, 2022, 9:06 a.m.