[求助]如果方差－协方差矩阵非正定，该怎么办？

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

gauss做非线性回归分析时，提示说方差协方差矩阵非正定，这些该如何是好？

gauss中有和修正方法吗？

[此贴子已经被作者于2005-9-14 10:48:13编辑过]

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：协方差矩阵 非正定 协方差 怎么办 线性回归分析 矩阵 协方差

为什么需要正定呢？不解。。。不过相关系数矩阵应该正定了吧！

covariance matrices are generally positive semidefinite. in realcomputation involving sample data, however, numerical errors can causethe sample covariance matrix to be negative semidefinite. In that case,you can calculate the square root of the sample covariance matrixdirectly first and then compute the sample covariance matrix, tomaintain the positivity.

however if you are concerned about rank-deficiency of the covariancematrix, there are quite a few reduced-rank subspace methods (i.e.eigenvalue decomposition) that can be helpful, so that you only dealwith the principle components ( this can be found in any multivariablestatistical analysis textbooks).

hope this is helpful.

我也遇到同样的问题,二楼的答复我不太明白,能进一步解释解释吗?