I am trying to use the dmt function in the package {mnormt}. Throughout my
algorithm, the covariance matrix is sometime calculated to be singular.
When attempting to calculate the dmt function with a covariance that is not
positive definite, I would like it to return Inf or NaN instead of an error
message.
I have been using the try function, however it is not yeilding the desired
result. (I did not include the values since they are 17 dimensions, all you
need to know is that sigij is singular)
try(out <- dmt(y[,j],new$mu[,,4],sigij,ceiling(new$nu[4])),silent=TRUE)
Error in chol.default(x, pivot = FALSE) :
the leading minor of order 16 is not positive definite
I have similarly tried the trycatch function (see below for code) however I
am using this within a function made my be (which i call "ll") so I get
errors like
ll <- function(new,y){
.......
out <- tryCatch(dmt(y[,j],new$mu[,,3],sigij,
ceiling(new$nu[3])),error = function(e) -Inf)
....
}
ll(new,y)
Error in chol.default(x, pivot = FALSE) :
the leading minor of order 16 is not positive definite
[1] -Inf
If anyone could shed some light on this problem, it would be greatly
appreciated.
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