Tries to invert a matrix by solve
. If this fails because of singularity, an eigenvector decomposition is computed, and eigenvalues below 1/cmax
are replaced by 1/cmax
, i.e., cmax
will be the corresponding eigenvalue of the inverted matrix.
solvecov(m, cmax = 1e+10)
a numeric symmetric matrix.
a positive value, see above.
A list with the following components: inv
the inverted matrix, coll
TRUE
if solve
failed because of singularity.
solve, eigen