You could use cov2cor() to convert from covariance matrix to correlation matrix. If the correlation is >1, the matrix won't be positive definite, so you can restandardize the matrix to get a pos def correlation matrix.
Jeremy On 21 October 2010 15:50, HAKAN DEMIRTAS <demir...@uic.edu> wrote: > 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 > > > [[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. > -- Jeremy Miles Psychology Research Methods Wiki: www.researchmethodsinpsychology.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.