Thanks Sarah. Silly mistake. I wrote the syntax when testing the correlation matrix, hence the symmetric = TRUE statement. I then thought, hang on a minute; I better check that and forgot to unwind the condition.
At least I'm not going mad! On May 27, 8:40 pm, Sarah Goslee <sarah.gos...@gmail.com> wrote: > Hi, > > How about because of this: > > > #calculate the eigenvalues > > eigen(testmatrix,symmetric = TRUE,only.value=TRUE) > > Your matrix isn't symmetric. If you claim that it is, R discards the > upper triangle without checking. You really want this: > > > testmatrix <- matrix(c(2, 1, 1, 1, 3, 2, -1, 1, 2), byrow=TRUE, nrow=3) > > testmatrix > > [,1] [,2] [,3] > [1,] 2 1 1 > [2,] 1 3 2 > [3,] -1 1 2> eigen(testmatrix)$values > > [1] 4 2 1 > > Sarah > > > > > > > > > > On Fri, May 27, 2011 at 11:55 AM, dM/ <david.n.mene...@gmail.com> wrote: > > I'm trying to test if a correlation matrix is positive semidefinite. > > > My understanding is that a matrix is positive semidefinite if it is > > Hermitian and all its eigenvalues are positive. The values in my > > correlation matrix are real and the layout means that it is symmetric. > > This seems to satisfy the Hermitian criterion so I figure that my real > > challenge is to check if the eigenvalues are all positive. > > > I've tried to use eigen(base) to determine the eigenvalues. The > > results don't indicate any problems, but I thought I'd cross check the > > syntax by assessing the eigen values of the following simple 3 x 3 > > matrix: > > > row 1) 2,1,1 > > row 2) 1,3,2 > > row 3) -1,1,2 > > > The eigenvalues for this matrix are: 1,2 and 4. I have confirmed this > > using the following site: > >http://www.akiti.ca/Eig3Solv.html > > > However, when I run my code in R (see below), I get different > > answers. What gives? > > > #test std 3 x 3: > > setwd("S:/790/Actuarial/Computing and VBA/R development/ > > Eigenvalues") > > testmatrix<-data.frame(read.csv("threeBythree.csv",header=FALSE)) > > > testmatrix > > > #check that the matrix drawn in is correct > > nrow(testmatrix) > > ncol(testmatrix) > > > #calculate the eigenvalues > > eigen(testmatrix,symmetric = TRUE,only.value=TRUE) > > -- > Sarah Gosleehttp://www.functionaldiversity.org > > ______________________________________________ > r-h...@r-project.org mailing listhttps://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
