I am creating covariance matrices from sets of points, and I am having frequent problems where I create matrices that are non-positive definite. I've started using the corpcor package, which was specifically designed to address these types of problems. It has solved many of my problems, but I still have one left.
One of the matrices I need to calculate is a cross-covariance matrix. In other words, I need to calculate cov(A, B), where A and B are each a matrix defining a set of points. The corpcor package does not seem to be able to perform this operation. Can anyone suggest a way to create cross-covariance matrices that are guaranteed (or at least likely) to be positive definite, either using corpcor or another package? I'm using R 2.8.1 and corpcor 1.5.2 on Mac OS X 10.5.8. - Jeff ______________________________________________ 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.