fungible (version 2.4.4)

corSmooth: Smooth a Non PD Correlation Matrix

Description

A function for smoothing a non-positive definite correlation matrix by the method of Knol and Berger (1991).

Usage

corSmooth(R, eps = 1e+08 * .Machine$double.eps)

Value

Rsmoothed

A Smoothed (positive definite) correlation 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., and Berger, M. P. F., (1991). Empirical comparison between factor analysis and multidimensional item response models.Multivariate Behavioral Research, 26, 457-477.

Examples

## choose eigenvalues such that R is NPD
l <- c(3.0749126,  0.9328397,  0.5523868,  0.4408609, -0.0010000)

## Generate NPD R
R <- genCorr(eigenval = l, seed = 123)
print(eigen(R)$values)

#> [1]  3.0749126  0.9328397  0.5523868  0.4408609 -0.0010000

## Smooth R
Rsm<-corSmooth(R, eps = 1E8 * .Machine$double.eps)
print(eigen(Rsm)$values)

#> [1] 3.074184e+00 9.326669e-01 5.523345e-01 4.408146e-01 2.219607e-08