DLM and matrices with 0 eigenvalues
Hi Rebecca, Are you using package dlm? If so, what are the functions that give you an error? Could you provide a minimal working example, as required by the posting guide? Also, (1) please do not post to both R-help and R-SIG-Finance; (2) questions about contributed packages should be addressed to the package maintainer. Best, Giovanni
Date: Thu, 19 Feb 2009 08:39:17 -0500 (EST) From: Rebecca Sela <rsela at stern.nyu.edu> Sender: r-sig-finance-bounces at stat.math.ethz.ch Precedence: list I am using DLM to fit a state space model. The covariance matrix of states (W) is given by: a 0 a 0 0 0 0 0 a 0 a 0 0 0 0 0 where a is a parameter to be estimated. Even though the matrix is positive semidefinite, sometimes DLM gives me an error that W is not a valid variance matrix. As far as I can tell, the reason is that one of R's computed eigenvalues is very slightly negative (something like -5E-17). Is there a way to work around this? Thanks! Rebecca
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Giovanni Petris <GPetris at uark.edu> Associate Professor Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/