isposdef: Check if Hessian matrix is positive definite

In vincenzocoia/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))

vincenzocoia/CopulaModel documentation built on Oct. 27, 2021, 6:41 a.m.