| psdcor {robcor} | R Documentation |
Positive Semidefinite Correlation Matrix Correction
Description
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. |
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.
Value
The corrected matrix.
Author(s)
Paul Smirnov <s.paul@mail.ru>
[Package robcor version 0.1-6.1 Index]