hHllo, I'm looking for an algroithm to transform an existing toeplitz matrix (autocorrelation matrix) to the nearest positive semidefinite toeplitz matrix.
I merely found an algorithm to transform an correlation matrix via the function nearcor() based on the algorithm of Higham. But as I examined, it destroys the toeplitz structure of my underlying matrix. Does any function already exist in R, which deals with my problem? -- View this message in context: http://r.789695.n4.nabble.com/nearest-positive-semidefinit-toeplitz-matrix-tp4589784p4589784.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
