monomvn (version 1.2)

posdef.approx: Find the Nearest Positive Definite Matrix

Description

Check if the matrix is positive definite via attempted Cholesky decomposition, and if not use the sechol function to get the nearest approximate Cholesky decomposition from which to recover an approximate covariance matrix which is positive definite.

Usage

posdef.approx(S, name = "S", quiet=FALSE)

Arguments

S

square matrix which is supposed to be positive definite

name

name of the matrix -- used for printing errors and warnings

quiet

whether or not to print a warning when a non-positive definite matrix is found

Value

• If successful, returns a matrix which is positive definite: either the original matrix, or a nearby positive definite approximation.

References

Micah Altman, Jeff Gill and Michael McDonald (2003). Numerical Issues in Statistical Computing for the Social Scientist. John Wiley and Sons, New York. http://www.hmdc.harvard.edu/micah_altman/numal/

http://www.statslab.cam.ac.uk/~bobby/monomvn.html

See Also

link[accuracy]{sechol}

Examples

## most likely generates a matrix which is close to positive definite
## but not quite
s <- matrix(rnorm(100), ncol=5)
S <- (t(s) %*% s) + matrix(rnorm(25, sd=10), ncol=5)
S

## a correction, quiet=TRUE so there is no warning printed
posdef.approx(S, quiet=TRUE)