Last data update: 2014.03.03

 R: Make Matrix Positive Definite
eigenmethR Documentation

Make Matrix Positive Definite

Description

The function adjusts a negative definite symmetric matrix to make it positive definite.

Usage

eigenmeth(mat, delta = 0.001)

Arguments

mat

matrix, a symmetric matrix

delta

numeric, new size of smallest eigenvalues

Details

See page 231 of QRM.

Value

a positive-definite matrix

Results


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