covariance and correlation matrices cannot be negative definite.
your covariance matrix
.05 .11
.11 .02
e.g. it has a negative determinant (approx -0.011). Otherwise said,
one of the eignevalues is negative (-.076), the other is approx
0.15...
you cov matrix corresponds to a correlation matrix:
1.0 3.5
3.5 1.0
which is obviously not valid...
t
t
Depending of how this has arisen it may be a mistake, or you may have
to "bound" the covariance to correspond to a correlation
On Tue, Mar 18, 2008 at 6:04 PM, <[email protected]> wrote:
> Dear all,
>
> Would it be possible to you to explain why I am getting this:
>
> mean1 = 0.4+-0.05 (+-variance)
> mean2 = 0.2+-0.02 (+-variance)
>
> covariance = 0.11
>
> corr2data cholesterol1 cholesterol2, means(0.4 0.2) cov(0.05, 0.11\ 0.11,
> 0.02) cstorage(full) n(100)
>
> . 0.05, 0.11\ 0.11, 0.02 not positive (semi)definite
> . r(506);
>
>
>
> Any idea?
>
> thank you!
>
> Tiago
> *
> * For searches and help try:
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>
*
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