Adjust the diagonal of a symmetric square matrix, by the smallest eigenvalue method, in order to make it positive definite.
A squared numeric matrix, typically a correlation or a covariance matrix. It must be symmetric.
A correction factor.
Finds the smallest eigenvalue lambda of
M2 if supplied) and adds (threshold-lambda) to the diagonal to make it positive definite.
A list with the corrected input matrices and the correction
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