smoothKB {fungible} | R Documentation |
Smooth a Non PD Correlation Matrix using the Knol-Berger algorithm
Description
A function for smoothing a non-positive definite correlation matrix by the method of Knol and Berger (1991).
Usage
smoothKB(R, eps = 1e+08 * .Machine$double.eps)
Arguments
R |
A non-positive definite correlation matrix. |
eps |
Small positive number to control the size of the non-scaled smallest eigenvalue of the smoothed R matrix. Default = 1E8 * .Machine$double.eps |
Value
RKB |
A Smoothed (positive definite) correlation matrix. |
eps |
Small positive number to control the size of the non-scaled smallest eigenvalue of the smoothed R matrix. |
Author(s)
Niels Waller
References
Knol, D. L., & Berger, M. P. F., (1991). Empirical comparison between factor analysis and multidimensional item response models.Multivariate Behavioral Research, 26, 457-477.
Examples
data(BadRLG)
## RKB = smoothed R
RKB<-smoothKB(R=BadRLG, eps = 1E8 * .Machine$double.eps)$RKB
print(eigen(RKB)$values)
[Package fungible version 2.4.4 Index]