Thanks for these replies.
@Peter - are these methods only suitable for pearson covariances? That
would def explain my issues. Sorry for my ignorance, but I would
highly appreciate an explanation. My original covariance matrix is
calculated using spearman as well (which is suitable for the data).
@Michael - I am simulating a sample size of 20351* 8368  so I do not
think that the sample size is the issue here.

2012/8/12 peter dalgaard <pda...@gmail.com>:
>
> On Aug 11, 2012, at 16:17 , Boel Brynedal wrote:
>
>> cov8=cov(sample8,method='spearman')
>
> There's your problem. I'm surprised that nobody seems to have picked up on 
> this, but Spearman covariances are of the ranks, not of the data. Try 
> method="pearson".
>
> --
> Peter Dalgaard, Professor,
> Center for Statistics, Copenhagen Business School
> Solbjerg Plads 3, 2000 Frederiksberg, Denmark
> Phone: (+45)38153501
> Email: pd....@cbs.dk  Priv: pda...@gmail.com
>
>
>
>
>
>
>
>

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