The sfsmisc Package - NexTag Supports Open Source Initiatives
The sfsmisc Package - NexTag Supports Open Source Initiatives
The sfsmisc Package - NexTag Supports Open Source Initiatives
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46 nearcor<br />
Details<br />
Value<br />
This implements the algorithm of Higham (2002), then forces symmetry, then forces positive definiteness<br />
using code from posdefify. This implementation does not make use of direct LAPACK<br />
access for tuning purposes as in the MATLAB code of Lucas (2001). <strong>The</strong> algorithm of Knol DL<br />
and ten Berge (1989) (not implemented here) is more general in (1) that it allows contraints to fix<br />
some rows (and columns) of the matrix and (2) to force the smallest eigenvalue to have a certain<br />
value.<br />
A list, with components<br />
cor<br />
fnorm<br />
iterations<br />
converged<br />
resulting correlation matrix<br />
Froebenius norm of difference of input and output<br />
number of iterations used<br />
logical<br />
Author(s)<br />
Jens Oehlschlägel<br />
References<br />
See Also<br />
See those in posdefify.<br />
the slightly more flexible nearPD which also returns a classed matrix (class dpoMatrix); hetcor,<br />
eigen; posdefify for a simpler algorithm.<br />
Examples<br />
cat("pr is the example matrix used in Knol DL, ten Berge (1989)\n")<br />
pr
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