QRM: eigenmeth – R documentation

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eigenmeth

Make Matrix Positive Definite

Description

The function adjusts a negative definite symmetric matrix to make it positive definite.

Usage

eigenmeth(mat, delta = 0.001)

Arguments

`mat`	`matrix`, a symmetric matrix
`delta`	`numeric`, new size of smallest eigenvalues

Details

See page 231 of QRM.

Value

a positive-definite matrix

QRM

Provides R-Language Code to Examine Quantitative Risk Management Concepts

v0.4-31

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib)

Initial release

2020-02-15