I am using DLM to fit a state space model. The covariance matrix of states (W) is given by: a 0 a 0 0 0 0 0 a 0 a 0 0 0 0 0 where a is a parameter to be estimated. Even though the matrix is positive semidefinite, sometimes DLM gives me an error that W is not a valid variance matrix. As far as I can tell, the reason is that one of R's computed eigenvalues is very slightly negative (something like -5E-17). Is there a way to work around this?
Thanks! Rebecca ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
