smoothKB: Smooth a Non PD Correlation Matrix using the Knol-Berger algorithm
Description
A function for smoothing a non-positive definite correlation matrix by the
method of Knol and Berger (1991).
Usage
smoothKB(R, eps = 1e+08 * .Machine$double.eps)
Value
RKB
A Smoothed (positive definite) correlation matrix.
eps
Small positive number to control the size of the non-scaled
smallest eigenvalue of the smoothed R matrix.
Arguments
R
A non-positive definite correlation matrix.
eps
Small positive number to control the size of the non-scaled
smallest eigenvalue of the smoothed R matrix. Default = 1E8 *
.Machine$double.eps
Author
Niels Waller
References
Knol, D. L., & Berger, M. P. F., (1991). Empirical comparison
between factor analysis and multidimensional item response
models.Multivariate Behavioral Research, 26, 457-477.