Hi I have a problem where I am finding that I cannot invert covariance matrices because they are ill-conditioned. I have been told that I can 'condition' these matrices by adding to their diagonals. My questions are: i) what should I add (do I add the same to each element of the diagonal, or different quantities and in such a case how do I decide)? ii) when do I decide to perform such conditioning (e.g. is there a common rule of thumb regarding the condition number etc.)?
Many thanks in advance. . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
