PD calibration
nearpdf.RdPD calibration
Arguments
- cormatrix
input cormatrix
- pda.method
"nearpd" or FALSE
- lmin
the min threshold of eigenvalues
Value
cormatrix.pd, the positive-definite adjusted correlation matrix
lmin, the min threshold of eigenvalues
Examples
x = matrix(rnorm(100), ncol = 10)
nearpdf(cor(x), pda.method = "nearpd", lmin = 0.1)
#> $cormatrix.pd
#> [,1] [,2] [,3] [,4] [,5]
#> [1,] 1.041627715 -0.12565959 -0.2133652869 -0.43997906 -0.009425594
#> [2,] -0.125659593 1.02822184 -0.2850955394 0.06050664 0.735039351
#> [3,] -0.213365287 -0.28509554 1.0316172446 0.13450826 -0.137024710
#> [4,] -0.439979062 0.06050664 0.1345082562 1.00308678 -0.383786905
#> [5,] -0.009425594 0.73503935 -0.1370247103 -0.38378691 1.014802313
#> [6,] -0.608535673 0.52518813 0.4671622428 0.31915208 0.406616893
#> [7,] -0.210113085 0.16009149 -0.0001416765 0.51377988 -0.220410255
#> [8,] -0.245808248 0.20283626 0.0967346515 0.53844095 0.059887824
#> [9,] -0.371163172 0.27222262 0.5459382412 0.19878558 0.347497738
#> [10,] -0.887233808 0.03740553 -0.0009642327 0.37230450 -0.100016920
#> [,6] [,7] [,8] [,9] [,10]
#> [1,] -0.6085357 -0.2101130846 -0.24580825 -0.3711632 -0.8872338078
#> [2,] 0.5251881 0.1600914899 0.20283626 0.2722226 0.0374055286
#> [3,] 0.4671622 -0.0001416765 0.09673465 0.5459382 -0.0009642327
#> [4,] 0.3191521 0.5137798755 0.53844095 0.1987856 0.3723044998
#> [5,] 0.4066169 -0.2204102546 0.05988782 0.3474977 -0.1000169195
#> [6,] 1.0322913 0.2205965542 0.28887650 0.6370030 0.4126567809
#> [7,] 0.2205966 1.0040915862 0.53415170 0.3556965 0.1709596620
#> [8,] 0.2888765 0.5341517038 1.00243281 0.5873827 0.1149137316
#> [9,] 0.6370030 0.3556964623 0.58738275 1.0185237 0.1056773641
#> [10,] 0.4126568 0.1709596620 0.11491373 0.1056774 1.0361715153
#>
#> $lmin
#> [1] 0.1
#>