I think I am missing something with the chol() function. Here is my calculation: > mat [,1] [,2] [,3] [,4] [,5] [1,] 1 3 0 0 0 [2,] 0 1 0 0 0 [3,] 0 0 1 0 0 [4,] 0 0 0 1 0 [5,] 0 0 0 0 1 > eigen(mat) $values [1] 1 1 1 1 1 $vectors [,1] [,2] [,3] [,4] [,5] [1,] 1 -1.000000e+00 0 0 0 [2,] 0 7.401487e-17 0 0 0 [3,] 0 0.000000e+00 1 0 0 [4,] 0 0.000000e+00 0 1 0 [5,] 0 0.000000e+00 0 0 1 > chol(mat) Error in chol.default(mat) : the leading minor of order 2 is not positive definite
As per the eigen values my matrix is PD (as all eigen values are positive). Then why still I can not get Cholesky factor of my matrix? Can somebody point mw where I am missing? Thanks and regards, ______________________________________________ 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.
