is_posdef: Matrix Positive-Definiteness Check
In antshi/CovEstim: (High-dimensional) Covariance Estimation
Description
Usage
Arguments
Value
Examples
View source: R/cov-estim-help.R
Description
Performs a tolerance check for positive-definiteness of a symmetric matrix.
Usage
1
is_posdef(mat, tol = 1e-08)
Arguments
mat
a pxp matrix.
tol
a double with tolerance for the eigenvalues. Default value is 1e-8.
Value
a logical. TRUE, if the matrix mat is positive-definite.
Examples
1
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3
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5
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7
data(sp200)
sp_rets <- sp200[,-1]
ml_sigma <- sigma_estim(sp_rets, "ML")
is_posdef(ml_sigma)
ml_sigma <- sigma_estim(sp_rets[1:100,], "ML")
is_posdef(ml_sigma)
antshi/CovEstim documentation built on Nov. 13, 2020, 2:25 p.m.
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Description Usage Arguments Value Examples
View source: R/cov-estim-help.R
Description
Performs a tolerance check for positive-definiteness of a symmetric matrix.
Usage
1 | is_posdef(mat, tol = 1e-08)
|
Arguments
mat |
a pxp matrix. |
tol |
a double with tolerance for the eigenvalues. Default value is 1e-8. |
Value
a logical. TRUE, if the matrix mat is positive-definite.
Examples
1 2 3 4 5 6 7 | data(sp200)
sp_rets <- sp200[,-1]
ml_sigma <- sigma_estim(sp_rets, "ML")
is_posdef(ml_sigma)
ml_sigma <- sigma_estim(sp_rets[1:100,], "ML")
is_posdef(ml_sigma)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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