eigenmeth {QRMlib}R Documentation

Make Matrix Positive Definite

Description

adjusts a negative definite symmetric matrix to make it positive definite

Usage

eigenmeth(mat, delta=0.001)

Arguments

mat a symmetric matrix
delta new size of smallest eigenvalues

Details

see page 231 of QRM

Value

a positive-definite matrix

See Also

fit.tcopula.rank


[Package QRMlib version 1.4.4 Index]