Hi,
I am trying to implement Higham's algorithm for correcting a non positive
definite covariance matrix.
I found this code in R:
http://projects.cs.kent.ac.uk/projects/cxxr/trac/browser/trunk/src/library/Recommended/Matrix/R/nearPD.R?rev=637
I managed to understand most of it, the only line I
On 2010-05-23 0:56, john smith wrote:
Hi,
I am trying to implement Higham's algorithm for correcting a non positive
definite covariance matrix.
I found this code in R:
http://projects.cs.kent.ac.uk/projects/cxxr/trac/browser/trunk/src/library/Recommended/Matrix/R/nearPD.R?rev=637
I managed to
On Sun, May 23, 2010 at 5:09 AM, Peter Ehlers ehl...@ucalgary.ca wrote:
On 2010-05-23 0:56, john smith wrote:
Hi,
I am trying to implement Higham's algorithm for correcting a non positive
definite covariance matrix.
I found this code in R:
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