[R] how do I make a correlation matrix positive definite?

[Ravi Varadhan]

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-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of HAKAN DEMIRTAS
Sent: Thursday, October 21, 2010 6:50 PM
To: r-help at 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


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