Perhaps to clarify Prof. Ripley's remarks below , the part that you missed was "symmetric," which your matrix obviously is not.
-- Bert 2011/10/23 Prof Brian Ripley <rip...@stats.ox.ac.uk> > On Sun, 23 Oct 2011, Ron Michael wrote: > > 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 >> $vectors >> [,1] [,2] [,3] [,4] [,5] >> [1,] 1 -1.000000e+00 0 0 0 >> [2,] 0 7.401487e-17 0 0 0 >> [3,] 0 0.000000e+00 1 0 0 >> [4,] 0 0.000000e+00 0 1 0 >> [5,] 0 0.000000e+00 0 0 1 >> >>> chol(mat) >>> >> Error in chol.default(mat) : >> the leading minor of order 2 is not positive definite >> >> As per the eigen values my matrix is PD (as all eigen values are >> positive). Then why still I can not get Cholesky factor of my matrix? Can >> somebody point mw where I am missing? Thanks and regards, >> > > Reading the help page: > > Compute the Choleski factorization of a real symmetric > ^^^^^^^^^ > positive-definite square matrix. > > .... > > Note that only the upper triangular part of x is used, so that > ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ > > A <- diag(5) > A[1,2] <- A[2,1] <- 3 > eigen(A)$values > [1] 4 1 1 1 -2 > > > > -- > Brian D. Ripley, rip...@stats.ox.ac.uk > Professor of Applied Statistics, > http://www.stats.ox.ac.uk/~**ripley/<http://www.stats.ox.ac.uk/%7Eripley/> > University of Oxford, Tel: +44 1865 272861 (self) > 1 South Parks Road, +44 1865 272866 (PA) > Oxford OX1 3TG, UK Fax: +44 1865 272595 > ______________________________________________ > 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. > > -- Bert Gunter Genentech Nonclinical Biostatistics Internal Contact Info: Phone: 467-7374 Website: http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm [[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.
