On Sun, May 23, 2010 at 5:09 AM, Peter Ehlers wrote:
> On 2010-05-23 0:56, john smith wrote:
>>
>> Hi,
>> I am trying to implement Higham's algorithm for correcting a non positive
>> definite covariance matrix.
>> I found this code in R:
>>
>> http://projects.cs.kent.ac.uk/projects/cxxr/trac/brows
On 2010-05-23 0:56, john smith wrote:
Hi,
I am trying to implement Higham's algorithm for correcting a non positive
definite covariance matrix.
I found this code in R:
http://projects.cs.kent.ac.uk/projects/cxxr/trac/browser/trunk/src/library/Recommended/Matrix/R/nearPD.R?rev=637
I managed to un
Hi,
I am trying to implement Higham's algorithm for correcting a non positive
definite covariance matrix.
I found this code in R:
http://projects.cs.kent.ac.uk/projects/cxxr/trac/browser/trunk/src/library/Recommended/Matrix/R/nearPD.R?rev=637
I managed to understand most of it, the only line I rea
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