What made you think that a cross-covariance matrix should be positive definite? Id does not even need to be a square matrix, or symmetric.
Giovanni Petris On Mon, 2010-11-15 at 12:58 -0500, Jeff Bassett wrote: > 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. ______________________________________________ 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.