non-ideal behavior in princomp/ not a feature but a bug

2. However, not all matrices work, such as the first one I tried yesterday.
Here is
an example of a matrix which does not work.

x

    [,1] [,2] [,3] [,4]
[1,] -0.4 -1.6 -1.0 -1.8
[2,] -2.2 -0.3  1.4  0.2

princomp(x)

Error in princomp(x) : covariance matrix is not non-negative definite

This does not happen with this example in Solaris, but I have had similar
problems with eigen before and had to use something like eigen( (cv + t(cv))/2 )
to avoid it. It seems to me that if eigen is called with symmetric = TRUE, as is
done in princomp, then eigen should return an error message about a
non-symmetric matrix, rather than return a possibly spurious answer from which
negative eigenvalues are checked to test for a non symmetric matrix.

Paul Gilbert


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