non-positive definite matrix remedies?

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]

Behalf Of Matthew Keller
Sent: March-11-09 6:20 PM
To: r-help at r-project.org
Subject: [R] non-positive definite matrix remedies?

Hi all,

For computational reasons, I need to estimate an 18x18 polychoric
correlation matrix two variables at a time (rather than trying to
estimate them all simultaneously using ML). The resulting polychoric
correlation matrix I am getting is non-positive definite, which is
problematic because I'm using this matrix later on as if it were a
legitimately estimated correlation matrix (in order to fit an SEM
model). I could add to the diagonal I suppose until it becomes
positive definite. Does anyone have any other ideas on how to deal
with this problem, and what the strengths and weaknesses of different
approaches are?

Thanks in advance,

Matt


--
Matthew C Keller
Asst. Professor of Psychology
University of Colorado at Boulder
www.matthewckeller.com

Hi all,

For computational reasons, I need to estimate an 18x18 polychoric
correlation matrix two variables at a time (rather than trying to
estimate them all simultaneously using ML). The resulting polychoric
correlation matrix I am getting is non-positive definite, which is
problematic because I'm using this matrix later on as if it were a
legitimately estimated correlation matrix (in order to fit an SEM
model). I could add to the diagonal I suppose until it becomes
positive definite. Does anyone have any other ideas on how to deal
with this problem, and what the strengths and weaknesses of different
approaches are?

Thanks in advance,

Matt


-- 
Matthew C Keller
Asst. Professor of Psychology
University of Colorado at Boulder
www.matthewckeller.com

Dear Matt,

See the pd argument to the hetcor() function in the polycor package.
hetcor() makes use of nearcor() in the sfsmisc package to ensure that a
matrix of pairwise polychoric, polyserial, and Pearson correlations is
positive-definite.

I hope this helps,
?John

------------------------------
John Fox, Professor
Department of Sociology
McMaster University
Hamilton, Ontario, Canada
web: socserv.mcmaster.ca/jfox

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]

On

Behalf Of Matthew Keller
Sent: March-11-09 6:20 PM
To: r-help at r-project.org
Subject: [R] non-positive definite matrix remedies?

Hi all,

For computational reasons, I need to estimate an 18x18 polychoric
correlation matrix two variables at a time (rather than trying to
estimate them all simultaneously using ML). The resulting polychoric
correlation matrix I am getting is non-positive definite, which is
problematic because I'm using this matrix later on as if it were a
legitimately estimated correlation matrix (in order to fit an SEM
model). I could add to the diagonal I suppose until it becomes
positive definite. Does anyone have any other ideas on how to deal
with this problem, and what the strengths and weaknesses of different
approaches are?

Thanks in advance,

Matt


--
Matthew C Keller
Asst. Professor of Psychology
University of Colorado at Boulder
www.matthewckeller.com