nearPPSD {robustcov}

nearest positive semi-definite projection of a matrix

Description

This routine calculate the nearest positive semi0definite projection

Usage

nearPPSD(X, eigenTol = 1e-06, convTol = 1e-07, psdTol = 1e-08, maxit = 1000L)

Arguments

X

the matrix

eigenTol

tolerance in eigen system, used in finding nearest positive matrix

convTol

tolerance in cov, used in finding nearest positive matrix

psdTol

tolerance in psd, used in finding nearest positive matrix

maxit

max iterations in finding nearest positive matrix

Value

a matrix which is the nearest positive semi-definite matrix of input X