[R] Need Advice on Matrix Not Positive Semi-Definite with cholesky decomposition

Gottlieb, Neil ngottlieb at marinercapital.com
Wed Apr 1 15:56:39 CEST 2009


Dear fellow R Users:

I am doing a Cholesky decomposition on a correlation matrix and get error message 
the matrix is not semi-definite.

Does anyone know: 
1- a work around to this issue?
2- Is there any approach to try and figure out what vector might be co-linear with another in thr Matrix?
3- any way to perturb the data to work around this?

Thanks for any suggestions.



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