make.positive.definite function

Compute Nearest Positive Definite Matrix

This function computes the nearest positive definite of a real symmetric matrix. See help("make.positive.definite") from package corpcor.

Source

Juliane Schaefer, Rainer Opgen-Rhein, Verena Zuber, A. Pedro Duarte Silva and Korbinian Strimmer. (2011). corpcor: Efficient Estimation of Covariance and (Partial) Correlation. R package version 1.6.0. https://CRAN.R-project.org/package=corpcor

Author(s)

Original version by Korbinian Strimmer