Inversion of (possibly singular) symmetric matrices
Tries to invert a matrix by solve. If this fails because of
singularity, an
eigenvector decomposition is computed, and eigenvalues below
1/cmax are replaced by 1/cmax, i.e., cmax will be
the corresponding eigenvalue of the inverted matrix.
solvecov(m, cmax = 1e+10)
m |
a numeric symmetric matrix. |
cmax |
a positive value, see above. |
A list with the following components:
inv |
the inverted matrix |
coll |
|
x <- c(1,0,0,1,0,1,0,0,1) dim(x) <- c(3,3) solvecov(x)
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