Hi,
If a matrix is not positive definite, make.positive.definite() function in
corpcor library finds the nearest positive definite matrix by the method
proposed by Higham (1988).
However, when I deal with correlation matrices whose diagonals have to be 1 by
definition, how do I do it? The above-mentioned function seem to mess up the
diagonal entries. [I haven't seen this complication, but obviously all entries
must remain in (-1,1) range after conversion.]
Any R tools to handle this?
I'd appreciate any help.
Hakan Demirtas
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