isposdef: Check if Hessian matrix is positive definite

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

Check if Hessian matrix is positive definite via attempted Cholesky decomposition

Usage

isposdef(amat)

Arguments

amat	dxd symmetric matrix

Value

True or False; True if matrix is positive definite

Examples

a1=matrix(c(1,.5,.5,1),2,2)
a2=matrix(c(1,1.5,1.5,1),2,2)
t1=try(chol(a1))
t2=try(chol(a2))
print(isposdef(a1))
print(isposdef(a2))

YafeiXu/CopulaModel documentation built on May 9, 2019, 11:07 p.m.