make_posdef: Matrix Positive-Definiteness
In antshi/CovEstim: (High-dimensional) Covariance Estimation

Description Usage Arguments Value References Examples

Produces a positive-definite matrix (to a certain tolerance). Originally found under \insertCitecorpcorpackage;textualCovEstim.

1	make_posdef(mat, tol = 1e-08)

`mat`	a pxp matrix.
`tol`	a double, the tolerance for the relative positiveness of eigenvalues compared to the largest eigenvalue. Default value is tol=1e-8. If NULL, a machine tolerance approximation is applied.

a positive-definite (to the tolerance of tol) matrix.

\insertRef

corpcorpackageCovEstim

data(sp200)
sp_rets <- sp200[1:100,-1]
ml_sigma <- sigma_estim(sp_rets, "ML")
is_posdef(ml_sigma)
ml_sigma_posdef <- make_posdef(ml_sigma)
is_posdef(ml_sigma_posdef)