On Sun, 23 Oct 2011, Ron Michael wrote:
I think I am missing something with the chol() function. Here is my calculation:
mat
[,1] [,2] [,3] [,4] [,5]
[1,] 1 3 0 0 0
[2,] 0 1 0 0 0
[3,] 0 0 1 0 0
[4,] 0 0 0 1 0
[5,] 0 0 0 0 1
eigen(mat)
$values
[1] 1 1 1 1 1
$vectors
[,1] [,2] [,3] [,4] [,5]
[1,] 1 -1.000000e+00 0 0 0
[2,] 0 7.401487e-17 0 0 0
[3,] 0 0.000000e+00 1 0 0
[4,] 0 0.000000e+00 0 1 0
[5,] 0 0.000000e+00 0 0 1
chol(mat)
Error in chol.default(mat) :
the leading minor of order 2 is not positive definite
As per the eigen values my matrix is PD (as all eigen values are
positive). Then why still I can not get Cholesky factor of my
matrix? Can somebody point mw where I am missing? Thanks and
regards,
Reading the help page:
Compute the Choleski factorization of a real symmetric
^^^^^^^^^
positive-definite square matrix.
....
Note that only the upper triangular part of ‘x’ is used, so that
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
A <- diag(5)
A[1,2] <- A[2,1] <- 3
eigen(A)$values
[1] 4 1 1 1 -2
--
Brian D. Ripley, rip...@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
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