Correct pseudo-correlation matrices to make them positive semidefinite ones.
Usage
psdcor(m, method = c("higham", "eigen"), ...)
Arguments
m
pseudo-correlation matrix to correct.
method
optionally, correction method to use.
...
potentially further arguments for the particular correction method.
Value
The corrected matrix.
Details
This function applies transformation to the given matrix in order to make it
positive semidefinite correlation matrix.
When method is higham, use Higham projections algorithm via nearPD() function.
When method is eigen, use direct eigenvalues correction via posdefify() function.