h_is_positive_definite | R Documentation |
This helper function checks whether a given numerical matrix x
is a
positive-definite square matrix of a given size, without any missing
values. This function is used to test if a given matrix is a covariance
matrix, since every symmetric positive semi-definite matrix is a covariance
matrix.
h_is_positive_definite(x, size = 2, tol = 1e-08)
x |
( |
size |
( |
tol |
( |
The positive definiteness test implemented in this function
is based on the following characterization valid for real matrices:
A symmetric matrix is positive-definite if and only if all of its eigenvalues are positive.
In this function an eigenvalue is considered
as positive if and only if it is greater than the tol
.
TRUE
if a given matrix is a positive-definite, FALSE
otherwise.
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