computationally singular

Weiwei Shi wrote:

I think the problem might be caused two variables are very correlated.
Should I check the cov matrix and try to delete some?
But i am just not quite sure of your reply. Could you detail it with some steps?

thanks,

Why not do principal component analysis? To identify the zero variance
linear combination(s) look at the nzero eigenvalues.  Also, it *might*
make sense
to calculate a " mahalanobis" distance replacing the matrix inverse with a
pseudoinverse.

Kjetil

weiwei

On 8/8/05, Christian Hennig <chrish at stats.ucl.ac.uk> wrote:

Once I had a situation where the reason was that the variables were
scaled to extremely different magnitudes. 1e-25 is a *very* small number
but still there is some probability that it may help to look up standard
deviations and to multiply the
variable with the smallest st.dev. with 1e20 or something.

Best,
Christian

On Mon, 8 Aug 2005, Weiwei Shi wrote:

Hi,
I have a dataset which has around 138 variables and 30,000 cases. I am
trying to calculate a mahalanobis distance matrix for them and my
procedure is like this:

Suppose my data is stored in mymatrix

S<-cov(mymatrix) # this is fine
D<-sapply(1:nrow(mymatrix), function(i) mahalanobis(mymatrix, mymatrix[i,], S))

Error in solve.default(cov, ...) : system is computationally singular:
reciprocal condition number = 1.09501e-25

I understand the error message but I don't know how to trace down
which variables caused this so that I can "sacrifice" them if there
are not a lot. Again, not sure if it is due to some variables and not
sure if dropping variables is a good idea either.

Thanks for help,

weiwei


--
Weiwei Shi, Ph.D

"Did you always know?"
"No, I did not. But I believed..."
---Matrix III

*** NEW ADDRESS! ***
Christian Hennig
University College London, Department of Statistical Science
Gower St., London WC1E 6BT, phone +44 207 679 1698
chrish at stats.ucl.ac.uk, www.homepages.ucl.ac.uk/~ucakche

--

Kjetil Halvorsen.

Peace is the most effective weapon of mass construction.
               --  Mahdi Elmandjra





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