I responded to another question that asked the exact same question. So, I will repeat my answer here:
Nick Higham (2002) discusses algorithms for this. One of the algorithms discussed in the paper is implemented in the "Matrix" package as `nearPD' function. library(Matrix) ?nearPD Ravi. -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of HAKAN DEMIRTAS Sent: Thursday, October 21, 2010 6:50 PM To: r-help@r-project.org Subject: [R] how do I make a correlation matrix positive definite? 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 [[alternative HTML version deleted]] ______________________________________________ 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.
