Re: [R] Non-positive definite cross-covariance matrices

On Tue, Nov 16, 2010 at 1:49 PM, Peter Langfelder wrote: > > It is easy to come up with examples where Cov(A, B) + Cov(B, A) is not > positive definite. As an extreme example, consider a matrix A (say 10 > columns, 100 rows) such that the off-diagonal covariances are all zero > and the columns are

Re: [R] Non-positive definite cross-covariance matrices

made you think that a cross-covariance matrix should be positive > definite? Id does not even need to be a square matrix, or symmetric. > > Giovanni Petris > > On Mon, 2010-11-15 at 12:58 -0500, Jeff Bassett wrote: >> I am creating covariance matrices from sets of points, and I a

[R] Non-positive definite cross-covariance matrices

I am creating covariance matrices from sets of points, and I am having frequent problems where I create matrices that are non-positive definite. I've started using the corpcor package, which was specifically designed to address these types of problems. It has solved many of my problems, but I sti