Description Usage Arguments Value
This routine calculate the nearest positive semi0definite projection
1 | nearPPSD(X, eigenTol = 1e-06, convTol = 1e-07, psdTol = 1e-08, maxit = 1000L)
|
X |
the matrix |
eigenTol |
tolerance in eigen system, used in finding nearest positive matrix |
convTol |
tolerance in cov, used in finding nearest positive matrix |
psdTol |
tolerance in psd, used in finding nearest positive matrix |
maxit |
max iterations in finding nearest positive matrix |
a matrix which is the nearest positive semi-definite matrix of input X
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