Generate positive definite matrix with constraints
On Sun, May 19, 2013 at 4:57 PM, Gabor Grothendieck
<ggrothendieck at gmail.com> wrote:
On Sun, May 19, 2013 at 10:33 AM, mary <mary.dama at libero.it> wrote:
Sorry in the previuos message I've inverted: I would like generate ... "same eigenvectors and different eigenvalues"
Try this: m0 <- 5 + matrix(c(.05, -.05, -.05, .05), 2) m0.values <- eigen(m0)$values with(eigen(matrix(rnorm(4), 2)), vectors %*% diag(m0.values) %*% solve(vectors))
I think I reversed it too. If that's not it try this: m0.vectors <- eigen(m0)$vectors with(eigen(matrix(rnorm(4), 2)), m0.vectors %*% diag(values) %*% solve(m0.vectors.0)) -- Statistics & Software Consulting GKX Group, GKX Associates Inc. tel: 1-877-GKX-GROUP email: ggrothendieck at gmail.com